Consistency of Araike's information criterion for infinite variance autoregressive processes
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Publication:1120236
DOI10.1214/aos/1176347145zbMath0672.62092OpenAlexW2003702789MaRDI QIDQ1120236
Publication date: 1989
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347145
consistencyinfinite varianceAkaike's information criterionautoregressionsdomain of attraction of a stable law
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
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