Author:
Hannan E. J.,Kanter Marek
Abstract
The least squares estimators βi(N), j = 1, …, p, from N data points, of the autoregressive constants for a stationary autoregressive model are considered when the disturbances have a distribution attracted to a stable law of index α < 2. It is shown that N1/δ(βi(N) – β) converges almost surely to zero for any δ > α. Some comments are made on alternative definitions of the βi(N).
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
75 articles.
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