Hurwicz's estimator of the autoregressive model with non-normal innovations
Volume 38 / 2011
Applicationes Mathematicae 38 (2011), 211-218
MSC: Primary 62M05; Secondary 62M10.
DOI: 10.4064/am38-2-6
Abstract
Using the Bahadur representation of a sample quantile for $m$-dependent and strong mixing random variables, we establish the asymptotic distribution of the Hurwicz estimator for the coefficient of autoregression in a linear process with innovations belonging to the domain of attraction of an $\alpha $-stable law ($1<\alpha <2$). The present paper extends Hurwicz's result to the autoregressive model.
