scientific article; zbMATH DE number 934852

MaRDI QIDQ4895346zbMATH OpenFDO

Authors Piotr Kokoszka

Publication date 14 October 1996

zbMATH Keywords

autoregressive time seriesheavy tail innovationslinear estimators

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Guaranteed parameter estimation in a first order autoregressive progress with infinite variance
• Estimation of the impulse response coefficients of a linear process with infinite variance
• M-estimation for autoregression with infinite variance

Cited in

(2)

• LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk

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