A note on maximum autoregressive processes of order one

M. Zarepour and D. Banjevic

Journal of Time Series Analysis, 2002, vol. 23, issue 5, 619-626

Abstract: We consider estimating the coefficient of a maximum autoregressive process of order one. Under a parametric assumption for innovations, the exact distribution of this estimate is calculated using a recursion method while, under the assumption that the distribution for the innovations has a regularly varying tail at infinity, we derive its limiting distribution.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:23:y:2002:i:5:p:619-626

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