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Maximum likelihood estimation for nearly non-stationary stable autoregressive processes

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  • Rong-Mao Zhang
  • Ngai Hang Chan

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  • Rong-Mao Zhang & Ngai Hang Chan, 2012. "Maximum likelihood estimation for nearly non-stationary stable autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(4), pages 542-553, July.
    • Handle: RePEc:bla:jtsera:v:33:y:2012:i:4:p:542-553
    DOI: j.1467-9892.2011.00762.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2011.00762.x
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    Cited by:

    1. Jungjun Choi & In Choi, 2019. "Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1121-1142, October.

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