Asymptotic Theory for M-Estimates in Unstable AR(p) Processes with Infinite Variance Innovations

2015/06/18 by Sohrabi, Maryam, Zarepour, Mahmoud
#60G52 #62F40 #62M10 #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1506.05830

Abstract

In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index 0

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