Consistent Estimation for Non-Gaussian Non-Causal Autoregessive Processes

DOI10.1111/1467-9892.00146zbMath0956.62081OpenAlexW2053327632MaRDI QIDQ2703243

Yudi Pawitan, Huang Jian

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00146

zbMATH Keywords

time seriesautocorrelation functionsYule-Walker estimatorsdouble exponentialLaplace density function

Mathematics Subject Classification ID

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

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M-estimation for general ARMA Processes with Infinite Variance

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