Limit theory for autoregressive‐parameter estimates in an infinite‐variance random walk

This publication has 8 references indexed in Scilit:

• On the First-Order Autoregressive Process with Infinite Variance
  Econometric Theory, 1989
• Asymptotic Inference for Nearly Nonstationary AR(1) Processes
  The Annals of Statistics, 1987
• Convergence of Stochastic Processes
  Published by Springer Nature ,1984
• Theory of Point Estimation
  Published by Springer Nature ,1983
• The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model
  The Annals of Statistics, 1981
• A bivariate stable characterization and domains of attraction
  Journal of Multivariate Analysis, 1979
• Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process
  The Annals of Statistics, 1978
• Convex Analysis
  Published by Walter de Gruyter GmbH ,1970