Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes

DOI10.1111/J.1467-9892.2011.00762.XMaRDI QIDQ5397932zbMATH OpenOpenAlexFDO

Authors Rong-Mao Zhang, Ngai Hang Chan

Publication date 25 February 2014

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00762.x

zbMATH Keywords

autoregressive processheavy-tailedmaximum likelihood estimatestable noise and near unit-root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

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Cites work

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• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Portfolio Analysis in a Stable Paretian Market
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Stable Paretian models in finance
• Time Series with Roots on or Near the Unit Circle
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(11)

• Trimmed stable AR(1) processes
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Gaussian likelihood estimation for nearly nonstationary AR(1) processes
• Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• Maximum likelihood estimators in regression models with infinite variance innovations
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• On Construction and Simulation of Autoregressive Sources With Near-Laplace Marginals
• scientific article; zbMATH DE number 4205671 (Why is no real title available?)

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