Estimation in a first order autoregressive scheme with non—normal stable disturbances
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/00949657708810166
Reference35 articles.
1. Distribution of the Serial Correlation Coefficient
2. On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
3. Blattberg, R. and Sargent, R. 1971.Regression with non-Gaussian stable disturbances: Some sampling results, Vol. 39, 501–510. Econometrica.
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