Gauss-Newton and M-estimation for ARMA processes with infinite variance
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References listed on IDEAS
- Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
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- Rongning Wu, 2013. "M-estimation for general ARMA Processes with Infinite Variance," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 571-591, September.
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More about this item
KeywordsGauss-Newton estimate Heavy-tails Stable distributions M-estimation ARMA processes;
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