Estimation of the Parameters of the Moving Average in the Case of Infinite Variance

DOI10.1137/1134031zbMath0714.62088OpenAlexW2010017453MaRDI QIDQ3200433

V. F. Onishchenko

Publication date: 1989

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1134031

zbMATH Keywords

robustnessconsistent estimatesresidualsmoving averageinfinite variance consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

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