Parameter Estimation of Heavy-Tailed AR Model With Missing Data Via Stochastic EM

DOI10.1109/TSP.2019.2899816zbMath1458.62203arXiv1809.07203OpenAlexW2890028362WikidataQ128324771 ScholiaQ128324771MaRDI QIDQ4631509

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Publication date: 29 March 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.07203

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

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