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Parameter estimation for some time series models without contiguity. (English) Zbl 0725.62079
Summary: A discussion is given of some time series models driven by iid noise having a discrete component. In the case of autoregressive processes, estimates can be formulated which, with probability one, are equal to the true parameter values for a large enough sample. Remarks on the contiguity of the distribution of an autoregressive process with discrete noise are also made.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10 Point estimation
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