Sampling distribution for a class of estimators for nonregular linear processes

Kamal C. Chanda

Statistics & Probability Letters, 1985, vol. 3, issue 5, 261-268

Abstract: Let {Xt; T = 1, 2,...} be a linear process with a location parameter [theta] defined by Xt - [theta] = [Sigma]0[infinity]grZt-r where {Zt; T = 0, ±1,...} is a sequence of independent and identically distributed random variables, with E[short parallel]Z1[short parallel][delta] 0. If [delta] [greater-or-equal, slanted] 1 we assume further than E(Z1) = 0. Let [eta] = [delta] if 0

Keywords: nonregular; linear; process; location; parameter; linear; estimator; symmetric; stable; distribution (search for similar items in EconPapers)
Date: 1985
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