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Estimating linear relationships for models based on random variables with infinite variance

Descriptive

Language
LanguageTerm (authority = ISO 639-3:2007); (type = text)
English
Genre (authority = RULIB-FS)
Other
Genre (authority = marcgt)
technical report
PhysicalDescription
InternetMediaType
application/pdf
Extent
1 online resource (16 pages)
Note (type = special display note)
Technical report DCS-TR-031
Name (type = corporate); (authority = RutgersOrg-School)
NamePart
School of Arts and Sciences (SAS) (New Brunswick)
Name (type = corporate); (authority = RutgersOrg-Department)
NamePart
Computer Science (New Brunswick)
TypeOfResource
Text
TitleInfo
Title
Estimating linear relationships for models based on random variables with infinite variance
Subject (authority = local)
Topic
Stable Process
Subject (authority = local)
Topic
Autoregressive Process
Subject (authority = local)
Topic
Moving Average Process
Subject (authority = local)
Topic
Regression
Abstract (type = abstract)
We sketch the proof of some theorems that show how to estimate the parameters in linear regressions, finite moving averages, and in finite order, stationary auto regressions. Some of these estimates have not been studied yet, but the chief novelty is that existing theory is extended to include processes with infinite variance. A main result is that ordinary least squares estimates are consistent for both finite moving average processes and finite order auto regressions. The sampling properties of some of these estimates are indicated.
Name (type = personal)
NamePart (type = family)
Kanter
NamePart (type = given)
Marek
Affiliation
Sir George Williams University, Montreal, Canada
Role
RoleTerm (type = text); (authority = marcrt)
author
Name (type = personal)
NamePart (type = family)
Steiger
NamePart (type = given)
William L.
Affiliation
Computer Science (New Brunswick)
Role
RoleTerm (type = text); (authority = marcrt)
author
OriginInfo
DateCreated (encoding = w3cdtf); (qualifier = exact); (keyDate = yes)
1974-12
RelatedItem (type = host)
TitleInfo
Title
Computer Science (New Brunswick)
Identifier (type = local)
rucore21032500001
Location
PhysicalLocation (authority = marcorg); (displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier (type = doi)
doi:10.7282/t3-0wnf-kv79
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This Item is protected by copyright and/or related rights.You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use.For other uses you need to obtain permission from the rights-holder(s).
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical

RULTechMD (ID = TECHNICAL1)
ContentModel
Document
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