Asymptotics of empirical processes of long memory moving averages with infinite variance.

DOI10.1016/S0304-4149(00)00065-XzbMath1046.62089OpenAlexW1996109750WikidataQ127663001 ScholiaQ127663001MaRDI QIDQ1879517

Hira L. Koul, Donatas Surgailis

Publication date: 22 September 2004

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00065-x

zbMATH Keywords

M-estimatorsunbounded spectral densitynon-random designsuniform reduction principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

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