Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes

DOI10.1111/J.1467-9892.2011.00762.XzbMATH Open1282.62209OpenAlexW1898744436MaRDI QIDQ5397932FDOQ5397932

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

Recommendations

• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Maximum likelihood estimators in nonlinear autoregressive processes
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• Maximum likelihood estimation for noncausal autoregressive processes
• scientific article; zbMATH DE number 4074185
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• scientific article; zbMATH DE number 4003311

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)

Cites Work

• A bivariate stable characterization and domains of attraction
• Stable Paretian models in finance
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Weak limit theorems for stochastic integrals and stochastic differential equations
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• Portfolio Analysis in a Stable Paretian Market
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Title not available (Why is that?)
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Inference for Near-Integrated Time Series With Infinite Variance
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Time Series with Roots on or Near the Unit Circle

Cited In (11)

• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• Trimmed stable AR(1) 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
• Title not available (Why is that?)

This page was built for publication: Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5397932)