Hurwicz's estimator of the autoregressive model with non-normal innovations

• Autorzy: Youcef Berkoun , Hocine Fellag
• Języki publikacji: EN

Abstrakty

EN

Using the Bahadur representation of a sample quantile for m-dependent and strong mixing random variables, we establish the asymptotic distribution of the Hurwicz estimator for the coefficient of autoregression in a linear process with innovations belonging to the domain of attraction of an α-stable law (1 < α < 2). The present paper extends Hurwicz's result to the autoregressive model.

Kategorie tematyczne

• 62M10: Time series, auto-correlation, regression, etc.
• 62M05: Markov processes: estimation

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2011
• Tom: 38
• Numer: 2
• Strony: 211-218

Daty

wydano

2011

Twórcy

autor

Youcef Berkoun

• Laboratoire de Mathématiques Pures et Appliquées, Université Mouloud Mammeri, Tizi-Ouzou, 15000 Algeria

autor

Hocine Fellag

• Laboratoire de Mathématiques Pures et Appliquées, Université Mouloud Mammeri, Tizi-Ouzou, 15000 Algeria

Identyfikatory

DOI

10.4064/am38-2-6