A note on maximum autoregressive processes of order one

DOI10.1111/1467-9892.00281zbMath1062.62209OpenAlexW3123881103MaRDI QIDQ4677012

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Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00281

zbMATH Keywords

parameter estimationregularly varying tailasymptotic autoregressive processmaximum autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15)

Cites Work

• Estimation for first-order autoregressive processes with positive or bounded innovations
• M-estimation for autoregression with infinite variance
• Limit distributions for linear programming time series estimators

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