Maximum likelihood estimation for α-stable autoregressive processes
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Estimation for Α - Stable Autoregressive Processes
We consider maximum likelihood estimation for both causal and noncausal autoregressive time series processes with non-Gaussian αstable noise. A nondegenerate limiting distribution is given for maximum likelihood estimators of the parameters of the autoregressive model equation and the parameters of the stable noise distribution. The estimators for the autoregressive parameters are n-consistent ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2009
ISSN: 0090-5364
DOI: 10.1214/08-aos632