Estimation for autoregressive processes with positive innovations

1 January 1992

journal article
research article
Published by Taylor & Francis in Communications in Statistics. Stochastic Models

Vol. 8 (3) , 685-717
https://doi.org/10.1080/15326349208807235

Abstract

We consider stationary autoregressive processes of order p which have positive parameters and positive innovations. The main results concern the rate of consistency of parameter estimators for the case p = 2. These estimators are defined in terms of estimating equations. Relevant asymptotic theory is developed in the wider context of vector autoregressive processes with positive innovations having a distribution with regularly varying left or right tails. These weak convergence results may be of independent interest.

Keywords

This publication has 5 references indexed in Scilit:

Estimation for first-order autoregressive processes with positive or bounded innovations
Stochastic Processes and their Applications, 1989
NON-NEGATIVE AUTOREGRESSIVE PROCESSES
Journal of Time Series Analysis, 1989
Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
Stochastic Processes and their Applications, 1988
Extreme Values, Regular Variation and Point Processes
Published by Springer Nature ,1987
On Some Limit Theorems Similar to the Arc-Sin Law
Theory of Probability and Its Applications, 1965