Estimation of the autoregression parameter with infinite dispersion of noise

DOI10.1134/S000511790901007XzbMath1163.93393MaRDI QIDQ1027678

A. S. Markov

Publication date: 30 June 2009

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

estimation of the autoregression parameterweighted estimate by the least-squares method

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Estimation for non-negative time series with heavy-tail innovations

Cites Work

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• Limit theory for the sample covariance and correlation functions of moving averages
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• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Stable limits for partial sums of dependent random variables
• RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

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