Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance

DOI10.1016/0047-259X(90)90078-VzbMath0679.62068MaRDI QIDQ1822873

Elisabeth Gassiat

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

causalityconsistent estimatesinfinite variancestable processspeed of convergencestationary AR(p) processautoregressive model of order pnon-causal model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (1)

Model selection for infinite variance time series

Cites Work

• Unnamed Item
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Robust identification of a nonminimum phase system: Blind adjustment of a linear equalizer in data communications
• On Quotients of Moving Average Processes with Infinite Mean
• Autoregressive processes with infinite variance
• A Note on Sums of Independent Random Variables with Infinite First Moment
• An $L^p$-Convergence Theorem

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