Model identification for infinite variance autoregressive processes
From MaRDI portal
Publication:528139
DOI10.1016/j.jeconom.2012.08.009zbMath1443.62239OpenAlexW2003904029MaRDI QIDQ528139
Beth Andrews, Richard A. Davis
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001935
Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Uses Software
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