Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors. IV. A note on the case of a negative unit root

DOI10.1007/BF02432339zbMath0923.62099OpenAlexW2039914746MaRDI QIDQ1288939

Joop Mijnheer

Publication date: 29 June 1999

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02432339

zbMATH Keywords

least-squares estimatorlimit distributionfinite-varianceinfinite-variance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
• Asymptotic inference for ar(1) processes with (non-normal) stable errors. III

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