Semi-parametric estimation of a stationary, non-necessary causal AR(p) process with infinite variance


We study the estimation problem of the parameter of a stationary AR(p) process with infinite variance when there is no assumption on the causality of the model. We propose consistent estimates. In the causal case, we obtain a speed of convergence.stable process autoregressive scheme non-causal model

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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