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 α-stable law (1 < α < 2). The present paper extends Hurwicz's result to the autoregressive model.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am38-2-6,
author = {Youcef Berkoun and Hocine Fellag},
title = {Hurwicz's estimator of the autoregressive model with non-normal innovations},
journal = {Applicationes Mathematicae},
volume = {38},
year = {2011},
pages = {211-218},
zbl = {1213.62137},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am38-2-6}
}
Youcef Berkoun; Hocine Fellag. Hurwicz's estimator of the autoregressive model with non-normal innovations. Applicationes Mathematicae, Tome 38 (2011) pp. 211-218. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am38-2-6/