Likelihood analysis of a first‐order autoregressive model with exponential innovations

DOI10.1111/1467-9892.00310zbMath1050.62096OpenAlexW1993690448MaRDI QIDQ4828158

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Publication date: 24 November 2004

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:d4f26112-a85b-468c-8cf4-a3136f5184ec

zbMATH Keywords

likelihoodhypothesis testingstochastic volatilityautoregressionexact distributionexponential innovationsnon-regular asymptotic

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Asymptotic properties of parametric tests (62F05)

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Cites Work

• Estimation for first-order autoregressive processes with positive or bounded innovations
• Point processes with correlated gamma interarrival times
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics