Parameter estimation for first-order bifurcating autoregressive processes with Weibull innovations

Chenhua Zhang

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1961-1969

Abstract: We study the first-order bifurcating autoregressive process Xt=ϕX⌊t/2⌋+ϵt with Weibull innovations. Using point process technique, we estimate the model parameter ϕ and the tail index α in the Weibull distribution and obtain the joint limit distribution of estimators.

Keywords: Bifurcating autoregressive processes; Regular variation; Point process; Tail index; Hill’s estimator (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1016/j.spl.2011.08.014

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