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Estimating the Mean of an AR(1) Process with Infinite Variance |
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PP: 67-78 |
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Author(s) |
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Tawfiq Fawzi Mami,
Hakim Ouadjed,
Abderrahmane Yousfate,
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Abstract |
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| 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. |
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