Semi-parametric estimation of a stationary, non-necessary causal AR(p) process with infinite variance

Elisabeth Gassiat

Journal of Multivariate Analysis, 1990, vol. 32, issue 1, 161-170

Abstract: We study the estimation problem of the parameter of a stationary AR(p) process with infinite variance when there is no assumption on the causality of the model. We propose consistent estimates. In the causal case, we obtain a speed of convergence.

Keywords: stable; process; autoregressive; scheme; non-causal; model (search for similar items in EconPapers)
Date: 1990
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