Gauss-Newton and M-estimation for ARMA processes with infinite variance
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference10 articles.
1. Time Series: Theory and Methods;Brockwell,1991
2. Functions of probability measures;Chover;J. Analyse Math.,1973
3. M-estimation for autoregressions with infinite variance;Davis;Stochastic Process Appl.,1992
4. Limit theory for moving averages of random variables with regularly varying tail probabilities;Davis;Ann. Probab.,1985
5. Limit theory for the sample correlation function of moving averages;Davis;Ann. Statist.,1986
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