Hurwicz's estimator of the autoregressive model with non-normal innovations

Youcef Berkoun, and Hocine Fellag. "Hurwicz's estimator of the autoregressive model with non-normal innovations." Applicationes Mathematicae 38.2 (2011): 211-218. <http://eudml.org/doc/279998>.

@article{YoucefBerkoun2011,
abstract = {Using the Bahadur representation of a sample quantile for m-dependent and strong mixing random variables, we establish the asymptotic distribution of the Hurwicz estimator for the coefficient of autoregression in a linear process with innovations belonging to the domain of attraction of an α-stable law (1 < α < 2). The present paper extends Hurwicz's result to the autoregressive model.},
author = {Youcef Berkoun, Hocine Fellag},
journal = {Applicationes Mathematicae},
keywords = {Bahadur representation; linear process; m-dependence; sample quantile; strong mixing process},
language = {eng},
number = {2},
pages = {211-218},
title = {Hurwicz's estimator of the autoregressive model with non-normal innovations},
url = {http://eudml.org/doc/279998},
volume = {38},
year = {2011},
}

TY - JOUR
AU - Youcef Berkoun
AU - Hocine Fellag
TI - Hurwicz's estimator of the autoregressive model with non-normal innovations
JO - Applicationes Mathematicae
PY - 2011
VL - 38
IS - 2
SP - 211
EP - 218
AB - Using the Bahadur representation of a sample quantile for m-dependent and strong mixing random variables, we establish the asymptotic distribution of the Hurwicz estimator for the coefficient of autoregression in a linear process with innovations belonging to the domain of attraction of an α-stable law (1 < α < 2). The present paper extends Hurwicz's result to the autoregressive model.
LA - eng
KW - Bahadur representation; linear process; m-dependence; sample quantile; strong mixing process
UR - http://eudml.org/doc/279998
ER -