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stat.AP2015
Bootstrapping the Mean Vector for the Observations in the Domain of Attraction of a Multivariate Stable Law
Maryam Sohrabi, Mahmoud Zarepour
We consider a robust estimation of the mean vector for a sequence of i.i.d. observations in the domain of attraction of a stable law with different indices of stability, $DS(α_1, \…
stat.AP2015
Asymptotic Theory for M-Estimates in Unstable AR(p) Processes with Infinite Variance Innovations
Maryam Sohrabi, Mahmoud Zarepour
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attractio…