collaborators

1 paper

math.ST2016

A Note on Bootstrapping M-estimates from Unstable AR(2) Process with Infinite Variance Innovations

Maryam Sohrabi, Mahmoud Zarepour

The limiting distribution for M-estimates in a non-stationary autoregressive model with heavy-tailed error is computationally intractable. To make inferences based on the M-estimat…