Geodesic
Hurwicz's estimator of the autoregressive model with non-normal innovations
Youcef Berkoun1 ; Hocine Fellag1
1 Laboratoire de Mathématiques Pures et Appliquées Université Mouloud Mammeri Tizi-Ouzou, 15000 Algeria
Applicationes Mathematicae, Tome 38 (2011) no. 2, pp. 211-218 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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.
DOI : 10.4064/am38-2-6
Keywords: using bahadur representation sample quantile m dependent strong mixing random variables establish asymptotic distribution hurwicz estimator coefficient autoregression linear process innovations belonging domain attraction alpha stable law alpha present paper extends hurwiczs result autoregressive model

Youcef Berkoun 1 ; Hocine Fellag 1

1 Laboratoire de Mathématiques Pures et Appliquées Université Mouloud Mammeri Tizi-Ouzou, 15000 Algeria 
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Youcef Berkoun; Hocine Fellag. Hurwicz's estimator of the autoregressive model with non-normal innovations. Applicationes Mathematicae, Tome 38 (2011) no. 2, pp. 211-218. doi: 10.4064/am38-2-6

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