M-ESTIMATION FOR A SPATIAL UNILATERAL AUTOREGRESSIVE MODEL WITH INFINITE VARIANCE INNOVATIONS
研究了新息服从稳定分布（指数α∈(0,2]）的空间单侧自回归模型的M估计量极限行为，涵盖平稳和单位根情形，并证明了自归一化M估计量的渐近正态性，附有数值例子和模拟研究。
We study the limiting behavior of the M -estimators of parameters for a spatial unilateral autoregressive model with independent and identically distributed innovations in the domain of attraction of a stable law with index α ∈ (0, 2]. Both stationary and unit root models and some extensions are considered. It is also shown that self-normalized M -estimators are asymptotically normal. A numerical example and a simulation study are also given.