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RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

 

作者: Keith Knight,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1987）
卷期: Volume 8, issue 1  

页码: 51-60

 

ISSN:0143-9782

 

年代: 1987

 

DOI:10.1111/j.1467-9892.1987.tb00420.x

 

出版商: Blackwell Publishing Ltd

 

数据来源: WILEY

 

摘要:

Abstract.LetYn=μ+Σβj(Yn–j–μ) +ɛnbe apth order autoregressive process with innovations {ɛn} in the domain of attraction of a stable law with index αmax(1, α). In addition, some statements are made regarding estimators of α which will give the full (Hannan and Kanter) rate of conv

 

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