Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes

DOI10.1111/j.1467-9892.2011.00762.xzbMath1282.62209OpenAlexW1898744436MaRDI QIDQ5397932

Rong Mao Zhang, Ngai Hang Chan

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00762.x

zbMATH Keywords

maximum likelihood estimateautoregressive processheavy-tailedstable noise and near unit-root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Related Items

Trimmed stable AR(1) processes, Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors

Cites Work

• Weak limit theorems for stochastic integrals and stochastic differential equations
• A bivariate stable characterization and domains of attraction
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Time Series with Roots on or Near the Unit Circle
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• Portfolio Analysis in a Stable Paretian Market
• Inference for Near-Integrated Time Series With Infinite Variance
• Unnamed Item
• Unnamed Item
• Unnamed Item