Smoothed estimates for models with random coefficients and infinite variance innovations

DOI10.1016/S0895-7177(04)90512-2zbMath1072.62082MaRDI QIDQ1765004

A. Thavaneswaran, M. Shelton Peiris

Publication date: 22 February 2005

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

zbMATH Keywords

DispersionStable distributionsLeast absolute deviationHeavy tailsAutoregressiveRandom coefficientsInfinite varianceSmoothed estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (1)

Random autoregressive models: A structured overview

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