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Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance. (English) Zbl 0679.62068
Summary: We study the estimation problem of the parameter of a stationary AR(p) process with infinite variance when there is no assumption on the causality of the model. We propose consistent estimates. In the causal case, we obtain a speed of convergence.

MSC:
 62M09 Non-Markovian processes: estimation 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 60E07 Infinitely divisible distributions; stable distributions
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References:
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