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