Estimation for the semipareto processes


Autoria(s): Balakrishna, N
Data(s)

19/03/2011

19/03/2011

1998

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

http://dyuthi.cusat.ac.in/xmlui/purl/2107

Idioma(s)

en

Publicador

Taylor & Francis

Palavras-Chave #α-mixing #consistent and asymptotically normal estimators #Ergodicity #Pareto process
Tipo

Working Paper