Minimum distance estimation in AR(1)-processes

DOI10.1023/A:1020620222477zbMATH Open1052.62090OpenAlexW1837912535MaRDI QIDQ1851128

Michel Piot

Publication date: 15 December 2002

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020620222477

zbMATH Keywords

asymptotic behaviorminimum distance estimationautoregressive processescontaminated normal distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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