A new estimation technique for AR(1) model with long-tailed symmetric innovations

DOI10.1007/978-3-319-96944-2_4zbMath1414.62351OpenAlexW2895533566MaRDI QIDQ2419612

Özlem Türker Bayrak, Aysen D. Akkaya

Publication date: 14 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-96944-2_4

zbMATH Keywords

robustnessestimationhypothesis testingefficiencyautoregressive modelsmodified maximum likelihoodleast squares estimatorsadaptive modified maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)

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