Guaranteed parameter estimation in a first order autoregressive progress with infinite variance

DOI10.1080/07474940008836438zbMath0953.62095OpenAlexW1502300679MaRDI QIDQ4500805

Victor Konev, Alain Le Breton

Publication date: 7 December 2000

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940008836438

zbMATH Keywords

prescribed precisionautoregression parameterasymptotically Pareto distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (3)

Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations ⋮ On Sequential Least Squares Estimates of Autoregressive Parameters ⋮ Sequential fixed accuracy estimation for nonstationary autoregressive processes

Cites Work

• Unnamed Item
• Fixed accuracy estimation of an autoregressive parameter
• Convergence of quadratic forms in p-stable random variables and \(\theta _ p\)-radonifying operators
• Conditional generalizations of strong laws which conclude the partial sums converge almost surely
• Conditional moments and linear regression for stable random variables
• Stable processes and related topics: A selection of papers from the Mathematical Sciences Institute Workshop, January 9-13, 1990, Cornell University, Ithaca, NY (USA)
• Order of convergence of regression parameter estimates in models with infinite variance
• RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
• Sequential estimation of the autoregressive parameter in a first order autoregressive process
• ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order
• Autoregressive processes with infinite variance
• On sequential estimation of an autoregressive parameter
• Estimators with prescribed Precision in Stochastic regression models
• "Infinite Variance" and Research Strategy in Time Series Analysis

This page was built for publication: Guaranteed parameter estimation in a first order autoregressive progress with infinite variance