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Limit theory for autoregressive-parameter estimates in an infinite-variance random walk |
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| Authors: | Keith Knight |
| Abstract: | We consider the asymptotic behaviour of least-squares and M-estimates of the autoregressive parameter when the process is an infinite-variance random walk. It is shown that certain M -estimates converge faster than least-squares estimates and that they are also asymptotically normal. |
| Keywords: | Random walk stable law least squares M-estimation weak convergence |