Maximum likelihood estimation for α-stable autoregressive processes

Annals of Statistics

Volumn 37, Issue 4, 2009, Pages 1946-1982

  Andrews, Beth ^a   Calder, Matthew ^b   Davis, Richard A ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b PHZ Capital Partners   (United States)

^c Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Autoregressive models; Maximum likelihood estimation; Non gaussian; Noncausal; Stable distributions

Indexed keywords

EID: 68649086418     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/08-AOS632     Document Type: Article

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