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

We study the first-order bifurcating autoregressive process Xt=ϕX⌊t/2⌋+ϵt with Weibull innovations. Using point process technique, we estimate the model parameter ϕ and the tail index α in the Weibull distribution and obtain the joint limit distribution of estimators.

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Year of publication:	2011
Authors:	Zhang, Chenhua
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1961-1969
Publisher:	Elsevier
Subject:	Bifurcating autoregressive processes \| Regular variation \| Point process \| Tail index \| Hill’s estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039835