Parameter estimation for first-order bifurcating autoregressive processes with Weibull innovations

被引：1

作者：

Zhang, Chenhua ^{[1
]}

机构：

[1] Univ So Mississippi, Dept Math, Hattiesburg, MS 39406 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 12期

关键词：

Bifurcating autoregressive processes; Regular variation; Point process; Tail index; Hill's estimator; MODEL;

D O I：

10.1016/j.spl.2011.08.014

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the first-order bifurcating autoregressive process X-t = phi X-left perpendiculart/2right perpendicular + is an element of(t) with Weibull innovations. Using point process technique, we estimate the model parameter phi and the tail index alpha, in the Weibull distribution and obtain the joint limit distribution of estimators. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1961 / 1969

页数：9

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