Estimation for autoregressive processes with positive innovations

Estimation for autoregressive processes with positive innovations

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Article ID: iaor19931625
Country: United States
Volume: 8
Start Page Number: 479
End Page Number: 498
Publication Date: Jun 1992
Journal: Stochastic Models
Authors: ,
Abstract:

The authors consider stationary autoregressive processes of order p which have positive parameters and positive innovations. The main results concern the rate of consistency of parameter estimators for the case p=2. These estimators are defined in terms of estimating equations. Relevant asymptotic thoery is developed in the wider context of vector autoregressive processes with positive innovations having a distribution with regularly varying left of right tails. These weak convergence results may be of independent interest.

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