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

Keith Knight

Journal of Time Series Analysis, 1987, vol. 8, issue 1, 51-60

Abstract: Abstract. Let Yn=μ+Σβj (Yn–j–μ) +ɛn be a pth order autoregressive process with innovations {ɛn} in the domain of attraction of a stable law with index α α. It is shown here that if α is estimated by the sample mean, N1/δ(βj–βj) → O almost surely for δ > max(1, α). In addition, some statements are made regarding estimators of α which will give the full (Hannan and Kanter) rate of convergence, in particular when α

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1987.tb00420.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:8:y:1987:i:1:p:51-60

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().