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Semi-parametric estimation of a stationary, non-necessary causal AR(p) process with infinite variance

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  • Gassiat, Elisabeth

Abstract

We study the estimation problem of the parameter of a stationary AR(p) process with infinite variance when there is no assumption on the causality of the model. We propose consistent estimates. In the causal case, we obtain a speed of convergence.

Suggested Citation

  • Gassiat, Elisabeth, 1990. "Semi-parametric estimation of a stationary, non-necessary causal AR(p) process with infinite variance," Journal of Multivariate Analysis, Elsevier, vol. 32(1), pages 161-170, January.
    • Handle: RePEc:eee:jmvana:v:32:y:1990:i:1:p:161-170
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