IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v8y1987i1p51-60.html
   My bibliography  Save this article

Rate Of Convergence Of Centred Estimates Of Autoregressive Parameters For Infinite Variance Autoregressions

Author

Listed:
  • Keith Knight

Abstract

. Let Yn=μ+Σβj (Yn–j–μ) +ɛn be a pth order autoregressive process with innovations {ɛn} in the domain of attraction of a stable law with index α α. It is shown here that if α is estimated by the sample mean, N1/δ(βj–βj) → O almost surely for δ > max(1, α). In addition, some statements are made regarding estimators of α which will give the full (Hannan and Kanter) rate of convergence, in particular when α

Suggested Citation

  • Keith Knight, 1987. "Rate Of Convergence Of Centred Estimates Of Autoregressive Parameters For Infinite Variance Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 51-60, January.
    • Handle: RePEc:bla:jtsera:v:8:y:1987:i:1:p:51-60
    DOI: 10.1111/j.1467-9892.1987.tb00420.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1987.tb00420.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1987.tb00420.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
    2. Ke Zhu & Shiqing Ling, 2015. "LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
    3. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility Regressions with Fat Tails," TSE Working Papers 20-1097, Toulouse School of Economics (TSE).
    4. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
    5. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
    6. Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
    7. Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:8:y:1987:i:1:p:51-60. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.