Inference for some time series models with random coefficients and infinite variance innovations

DOI10.1016/S0895-7177(00)00284-3zbMath0967.62071MaRDI QIDQ5936766

A. Thavaneswaran, M. Shelton Peiris

Publication date: 8 July 2001

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

time series; dispersion; random coefficients; stable distributions; autoregressive; heavy-tails; least absolute deviation

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

62F10: Point estimation

Related Items

Inference for some time series models with random coefficients and infinite variance innovations, Smoothed estimates for models with random coefficients and infinite variance innovations

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