M-estimation for autoregressions with infinite variance
Open Access
- 1 February 1992
- journal article
- Published by Elsevier in Stochastic Processes and their Applications
- Vol. 40 (1), 145-180
- https://doi.org/10.1016/0304-4149(92)90142-d
Abstract
No abstract availableKeywords
This publication has 8 references indexed in Scilit:
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONSJournal of Time Series Analysis, 1987
- Limit Theory for the Sample Covariance and Correlation Functions of Moving AveragesThe Annals of Statistics, 1986
- More limit theory for the sample correlation function of moving averagesStochastic Processes and their Applications, 1985
- Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail ProbabilitiesThe Annals of Probability, 1985
- On convergence of LAD estimates in autoregression with infinite varianceJournal of Multivariate Analysis, 1982
- Least absolute deviation estimates in autoregression with infinite varianceJournal of Applied Probability, 1979
- Autoregressive processes with infinite varianceJournal of Applied Probability, 1977
- Regression and autoregression with infinite varianceAdvances in Applied Probability, 1974