Estimation in a first order autoregressive scheme with non—normal stable disturbances

DOI10.1080/00949657708810166zbMath0382.62077OpenAlexW2005833508MaRDI QIDQ4160283

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Publication date: 1977

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949657708810166

Mathematics Subject Classification ID

Inference from stochastic processes (62M99)

Related Items (3)

On coverage probability, independence and normality in batch means algorithms ⋮ Indirect estimation of \(\alpha \)-stable stochastic volatility models ⋮ CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER

Cites Work

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• The moments of the Leipnik distribution
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• Approximate Moments for the Serial Correlation Coefficient
• Tables of finite-mean nonsymmetric stable distributions as computed from their convergent and asymptotic series^†
• Autoregressive processes with infinite variance
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Computing the distribution of quadratic forms in normal variables
• Uniform Random Number Generators
• Testing for serial correlation with exponentially distributed variates
• First Order Autoregression: Inference, Estimation, and Prediction
• An approximate distribution of a noncircular serial correlation coefficient
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Rank correlation and product-moment correlation
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Distribution of the Serial Correlation Coefficient

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