Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models

DOI10.1016/j.jeconom.2023.04.011OpenAlexW4381430776MaRDI QIDQ6175549

Rong Mao Zhang, Yaxing Yang, Dong Li, Yuxin Tao

Publication date: 18 August 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.04.011

zbMATH Keywords

MLEnonstationaritystable distributionKolmogorov-type testDAR model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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