R. Davis

most citedMaximum likelihood estimation for

α

-stable autoregressive processes

68 citations · 101 across the 2 of their papers we have counts for

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math.ST2009★ 68 cited

Maximum likelihood estimation for $α$ -stable autoregressive processes

Beth Andrews, Matthew Calder, Richard A. Davis

We consider maximum likelihood estimation for both causal and noncausal autoregressive time series processes with non-Gaussian $α$ -stable noise. A nondegenerate limiting distributi…

math.ST2007★ 33 cited

Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average

F. Jay Breidt, Richard A. Davis, Nan-Jung Hsu +1

The first-order moving average model or MA(1) is given by $X_{t} = Z_{t} - θ_{0} Z_{t - 1}$ , with independent and identically distributed ${Z_{t}}$ . This is arguably the simplest time series mo…

Maximum likelihood estimation for α-stable autoregressive processes

Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average

Maximum likelihood estimation for $α$ -stable autoregressive processes