On the First-Order Autoregressive Process with Infinite Variance
研究了一阶自回归过程在误差项服从稳定分布（重尾）时，最小二乘估计的强一致性和极限分布，并推广到季节差分模型，对单位根检验有参考价值。
For a first-order autoregressive process Y t = β Y t−1 + ∈ t where the ∈ t 'S are i.i.d. and belong to the domain of attraction of a stable law, the strong consistency of the ordinary least-squares estimator b n of β is obtained for β = 1, and the limiting distribution of b n is established as a functional of a Lévy process. Generalizations to seasonal difference models are also considered. These results are useful in testing for the presence of unit roots when the ∈ t 'S are heavy-tailed.