Inference for Near-Integrated Time Series With Infinite Variance

DOI10.2307/2289603MaRDI QIDQ5748779zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan

Publication date 1990

Full work available at URL https://doi.org/10.2307/2289603

zbMATH Keywords

weak convergencestochastic integralsunified theorydomain of attraction of a stable lawLévy processesautoregressive coefficientroot testsasymptotic distribution of the least squares estimatecointegrationsheavy-tailed noise sequencenear-integrated autoregressive time series with infinite variance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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