Sampling distribution for a class of estimators for nonregular linear processes

DOI10.1016/0167-7152(85)90042-2zbMath0571.62079OpenAlexW2094769697MaRDI QIDQ1061436

Kamal C. Chanda

Publication date: 1985

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(85)90042-2

zbMATH Keywords

symmetric stable distributionlocation parameterlinear estimatornonregular linear processsampling properties

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (2)

GENERAL LINEAR PROCESSES:A PROPERTY OF THE EMPIRICAL PROCESS APPLIED TO DENSITY AND MODE ESTIMATION ⋮ Asymptotic normality of \(L\)-statistics based on \(m(n)\)-decomposable time series

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• Prediction and the efficiency of least squares
• Estimating the Mean of Observations from a Wide-Sense Stationary Autoregressive Sequence
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance
• Stochastic processes and statistical inference

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