Thavaneswaran, A.; Thompson, M. E. Optimal estimation for semimartingales. (English) Zbl 0604.62082 J. Appl. Probab. 23, 409-417 (1986). MSC: 62M09 60G44 60H05 PDFBibTeX XMLCite \textit{A. Thavaneswaran} and \textit{M. E. Thompson}, J. Appl. Probab. 23, 409--417 (1986; Zbl 0604.62082) Full Text: DOI
Gross, S.; Steiger, W. L. Least absolute deviation estimates in autoregression with infinite variance. (English) Zbl 0403.62063 J. Appl. Probab. 16, 104-116 (1979). MSC: 62M10 62J05 PDFBibTeX XMLCite \textit{S. Gross} and \textit{W. L. Steiger}, J. Appl. Probab. 16, 104--116 (1979; Zbl 0403.62063) Full Text: DOI