Estimating the Mean of an AR(1) Process with Infinite Variance

Authors

Tawfiq Fawzi Mami, Ain Temouchent University, AlgeriaFollow
Hakim Ouadjed
Abderrahmane Yousfate

Author Country (or Countries)

Algeria

Abstract

Peng [17] proposed an asymptotically normal estimator of the mean of a heavy tailed distribution with tail index a > 1 based on an i.i.d. observations. The goal in this paper is to propose an extension of this estimator which is also asymptotically normal for a sequence X1,X2, . . . ,Xn, . . . resulting from an AR(1) stationary process with common heavy tailed distribution of innovations.

Suggested Reviewers

N/A

Recommended Citation

Fawzi Mami, Tawfiq; Ouadjed, Hakim; and Yousfate, Abderrahmane (2015) "Estimating the Mean of an AR(1) Process with Infinite Variance," Journal of Statistics Applications & Probability: Vol. 4: Iss. 1, Article 7.
Available at: https://digitalcommons.aaru.edu.jo/jsap/vol4/iss1/7