The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance

DOI10.14708/ma.v48i2.7059zbMath1499.62097OpenAlexW3157530744MaRDI QIDQ5062351

Paweł Stępniak, Agnieszka Wyłomańska

Publication date: 15 March 2022

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v48i2.7059

zbMATH Keywords

estimationMonte Carlo simulationsautoregressive modelStudent's t-distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Probability distributions: general theory (60E05)

Related Items (1)

Autoregressive model with double Pareto distributed noise

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