Estimating the noise parameters from observations of a linear process with stable innovations

DOI10.1016/0378-3758(92)90065-ZzbMath0781.62137MaRDI QIDQ1205454

Peter J. Brockwell, Jian Liu

Publication date: 1 April 1993

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

empirical characteristic functionstable distributionstrongly consistentlinear time series modelsasymptotically normal estimatorsweakly consistent\(\text{AR}(p)\) processstable innovations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (3)

Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Change Point Detection with Multivariate Observations Based on Characteristic Functions ⋮ Transform martingale estimating functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On statistical transform methods and their efficiency
• Autoregressive processes with infinite variance
• Estimation in Univariate and Multivariate Stable Distributions

This page was built for publication: Estimating the noise parameters from observations of a linear process with stable innovations