Estimation of the index parameter for autoregressive data using the estimated innovations

DOI10.1016/S0167-7152(98)00167-9zbMath0943.62087MaRDI QIDQ1304109

Michael R. Allen, Somnath Datta

Publication date: 10 September 2000

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

zbMATH Keywords

regular variationtail indexautoregression

Mathematics Subject Classification ID

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

Cites Work

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