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Robust estimation of multivariate and spatial autoregression
2013
This dissertation consists of five chapters. In Chapter 1, we collect some fundamental concepts and definitions employed in the forthcoming chapters. In Chapter 2, we consider the limiting behavior of a vector autoregressive model of order one (VAR(1)) with independent and identically distributed (i.i.d.) innovations vector with dependent components in the domain of attraction of a multivariate stable law with possibly different indices of stability. It is shown that in some cases the ordinary
doi:10.20381/ruor-13014
fatcat:megb7rbhazd4jnh4z4d7ssfxpu