Renewal regime switching and stable limit laws

DOI10.1016/J.JECONOM.2004.09.010zbMath1337.62195OpenAlexW2126693233MaRDI QIDQ265118

Remigijus Leipus, Donatas Surgailis, Vygantas Paulauskas

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.010

zbMATH Keywords

regime switchingrenewal reward processstable Lévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Renewal theory (60K05)

Related Items (9)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Invariance principles for tempered fractionally integrated processes ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ Discrete-time trawl processes ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ Anisotropic scaling limits of long-range dependent random fields ⋮ On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise ⋮ Scaling transition for long-range dependent Gaussian random fields

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Asymptotics for duration-driven long range dependent processes
• Are there speculative bubbles in stock markets? Evidence from an alternative approach
• Long memory relationships and the aggregation of dynamic models
• Long memory and stochastic trend.
• Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
• Modeling long memory in stock market volatility
• Memory and infrequent breaks
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
• Existence of moments in a stationary stochastic difference equation
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• Mixing Conditions for Markov Chains
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Random coefficient autoregression, regime switching and long memory
• On Long-Range Dependence in Regenerative Processes Based on a General ON/OFF Scheme
• The Invariance Principle for Stationary Processes
• Long memory and regime switching

This page was built for publication: Renewal regime switching and stable limit laws