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Asymptotic inference for AR(1) processes with (nonnormal) stable errors

✍ Scribed by J. Mijnheer

Publisher
Springer US
Year
1997
Tongue
English
Weight
462 KB
Volume
83
Category
Article
ISSN
1573-8795

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## Abstract This paper considers maximum likelihood estimation in a regression model when the errors follow a first‐order moving average model which is non‐invertible or nearly non‐invertible. The latter corresponds to a moving average parameter θ that is equal to or close to 1. The joint limiting