Asymptotic Theory for M-Estimates in Unstable AR(p) Processes with Infinite Variance Innovations

Autor:	Sohrabi, Maryam, Zarepour, Mahmoud
Rok vydání:	2015
Předmět:	Statistics - Applications Mathematics - Statistics Theory 62M10 60G52 62F40
Druh dokumentu:	Working Paper
Popis:	In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular, when the model involves repeated unit roots or conjugate complex unit roots, M-estimators have a higher asymptotic rate of convergence compared to the least square estimators and the asymptotic results can be written as It\^{o} stochastic integrals.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1506.05830 Zobrazit plný text záznamu View this record from Arxiv