Trimmed Least Square Estimators for Stable Ar(1) Processes

We prove the weak consistency of the trimmed least square estimator of the covariance parameter of an AR(1) process with stable errors.

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Bibliographic Details
Published in	Mathematica Pannonica Vol. 28_NS2; no. 1; pp. 16 - 23
Main Authors	Bazarova, Alina, Berkes, István, Horváth, Lajos
Format	Journal Article
Language	English
Published	01.12.2022
Online Access	Get full text

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Summary:	We prove the weak consistency of the trimmed least square estimator of the covariance parameter of an AR(1) process with stable errors.
ISSN:	0865-2090 2786-0752
DOI:	10.1556/314.2022.00003