Abstract
In this paper we consider the problem of maximum likelihood (ML) estimation in the classical AR(1) model with i.i.d. symmetric stable innovations with known characteristic exponent and unknown scale parameter. We present an approach that allows us to investigate the properties of ML estimators without making use of numerical procedures. Finally, we introduce a generalization to the multivariate case.
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Paulaauskas, V., Rachev, S.T. Maximum likelihood estimators in regression models with infinite variance innovations. Statistical Papers 44, 47–65 (2003). https://doi.org/10.1007/s00362-002-0133-8
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DOI: https://doi.org/10.1007/s00362-002-0133-8