Asymptotic Behavior of Least-Squares Estimates for Autoregressive Processes with Infinite Variances

Victor J. Yohai; Ricardo A. Maronna

doi:10.1214/aos/1176343855

#39;s are i.i.d. variables with a symmetric distribution $F$ such that $E \log^+ |u_t| < \infty$. For the Yule-Walker version $\beta_T^\ast$ of the least-squares estimate of $\beta =…" /> Asymptotic Behavior of Least-Squares Estimates for Autoregressive Processes with Infinite Variances