ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER

DOI10.1111/j.1467-9892.1993.tb00130.xzbMath0768.62078OpenAlexW1987995893MaRDI QIDQ4696579

George Mathew, William P. McCormick

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00130.x

zbMATH Keywords

exponential distributionpoint processesstrong consistencylinear programming problemconditional maximum likelihood estimateAR(1) processasymptotic limit lawsmoving-average processesheavy-tailed innovation distributionregular variation of the innovation distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of mathematical programming (90C90)

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