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Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations.
Ke-Ang Fu
Xiaoyong Fu
Published in:
J. Comput. Appl. Math. (2015)
Keyphrases
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heavy tailed
autoregressive model
large deviations
generalized gaussian
autoregressive
wavelet domain
higher order
wavelet analysis
prior distribution
multiscale
multiresolution
model selection
signal to noise ratio