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

Youcef Berkoun, Hocine Fellag (2011)

Applicationes Mathematicae

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.

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