M-Estimation For A Spatial Unilateral Autoregressive Model With Infinite Variance Innovations
We study the limiting behavior of the M -estimators of parameters for a spatial unilateral autoregressive model with independent and identically distributed innovations in the domain of attraction of a stable law with index α ∈ (0, 2]. Both stationary and unit root models and some extensions are considered. It is also shown that self-normalized M -estimators are asymptotically normal. A numerical example and a simulation study are also given.
Volume (Year): 26 (2010)
Issue (Month): 06 (December)
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