Estimation for the semipareto processes
Data(s) |
19/03/2011
19/03/2011
1998
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Resumo |
This paper proposes different estimators for the parameters of SemiPareto and Pareto autoregressive minification processes The asymptotic properties of the estimators are established by showing that the SemiPareto process is α-mixing. Asymptotic variances of different moment and maximum likelihood estimators are compared. |
Identificador |
0361-0926 Communications in Statistics - Theory and Methods, Volume 27, Issue 9 1998 , pages 2307 - 2323 |
Idioma(s) |
en |
Publicador |
Taylor & Francis |
Palavras-Chave | #α-mixing #consistent and asymptotically normal estimators #Ergodicity #Pareto process |
Tipo |
Working Paper |