Fasen‐Hartmann, Vicky; Kimmig, Sebastian - In: Journal of Time Series Analysis 41 (2020) 5, pp. 620-651
using a generalized M- (GM-)estimator. Since the map which maps the parameters of the auxiliary AR(r) representation to the … some standard assumptions the GM-estimator for the AR(r) parameters is consistent and asymptotically normally distributed …
