Large sample theory for statistics of stable moving averages

DOI10.1080/10485250310001622587MaRDI QIDQ4831096zbMATH OpenOpenAlexFDO

Authors Dimitris Politis, Tucker S. McElroy

Publication date 20 December 2004

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250310001622587

zbMATH Keywords

Heavy-tailed Time SeriesPeriodogramRandom MeasureStable Moving AverageSubsampling

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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• scientific article; zbMATH DE number 4024410
• scientific article; zbMATH DE number 3958502

Cites work

• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• How misleading can sample ACFs of stable MAs be? (Very!)
• Large sample confidence regions based on subsamples under minimal assumptions
• Limit distributions of self-normalized sums
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Spectral estimates and stable processes
• Subsampling for heteroskedastic time series
• Subsampling inference for the mean in the heavy-tailed case.
• Tail index estimation for dependent data
• The sample autocorrelations of heavy-tailed processes with applications to ARCH

Cited in

(4)

• Inference for modulated stationary processes
• scientific article; zbMATH DE number 3958502 (Why is no real title available?)
• scientific article; zbMATH DE number 720759 (Why is no real title available?)
• Stable marked point processes

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