The sample ACF of a simple bilinear process

DOI10.1016/S0304-4149(99)00013-7zbMath0997.60012OpenAlexW2038005533MaRDI QIDQ1613623

Richard A. Davis, Bojan Basrak, Thomas Mikosch

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00013-7

zbMATH Keywords

point processheavy tailsmixing conditionsbilinear processsample autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (18)

Strong approximation of the empirical process of GARCH sequences ⋮ On the extremes of a class of non-linear processes with heavy tailed innovations ⋮ ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS ⋮ A special integer-valued bilinear time series model with applications ⋮ INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL ⋮ The extremogram: a correlogram for extreme events ⋮ Integer-valued bilinear model with dependent counting series ⋮ Interval estimation for a simple bilinear model ⋮ The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes ⋮ The rate of consistency of the quasi-maximum likelihood estimator. ⋮ The asymptotic convexity of the negative likelihood function of GARCH models ⋮ On the non-negative first-order exponential bilinear time series model ⋮ From rational bubbles to crashes ⋮ Stable limits for sums of dependent infinite variance random variables ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ Periodic stationarity of random coefficient periodic autoregressions ⋮ Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. ⋮ An integer-valued bilinear time series model via two random operators

Cites Work

• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Implicit renewal theory and tails of solutions of random equations
• More limit theory for the sample correlation function of moving averages
• Limit theory for the sample covariance and correlation functions of moving averages
• Extremal theory for stochastic processes
• An introduction to the theory of point processes
• Random difference equations and renewal theory for products of random matrices
• Extremal behaviour of stationary Markov chains with applications
• Limit theory for bilinear processes with heavy-tailed noise
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Extremes of bilinear time series models

This page was built for publication: The sample ACF of a simple bilinear process