Estimation for regression with infinite variance errors

DOI10.1016/S0895-7177(99)00100-4zbMath0990.62081MaRDI QIDQ1596877

A. Thavaneswaran, M. Shelton Peiris

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (3)

Smoothed estimates for models with random coefficients and infinite variance innovations ⋮ Inference for some time series models with random coefficients and infinite variance innovations ⋮ Recursive estimation for regression with infinite variance fractional ARIMA noise

Cites Work

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• Autoregressive processes with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• Least absolute deviation estimates in autoregression with infinite variance
• Some Results on Non Stationary First Order Autoregression
• A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
• "Infinite Variance" and Research Strategy in Time Series Analysis

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