Principle of conditioning revisited

MaRDI QIDQ4898884zbMATH OpenFDO

Authors Adam Jakubowski

Publication date 3 January 2013

zbMATH Keywords

\(\text{GARCH}(1,1)\) processescentral limit theoremconvergence in lawmartingale transformsmartingalesmixtures of stable lawsprinciple of conditioningstable laws

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05)

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• scientific article; zbMATH DE number 1190402

Cited in

(10)

• Principle of conditioning in limit theorems for sums of random variables
• Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• Limits of the Letac principle: the discrete case
• Stable limits for Markov chains via the principle of conditioning
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
• A CLT for martingale transforms with infinite variance
• Conditioning by Minimizing Accessibility
• A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
• Limit theory for martingale transforms with heavy-tailed noise

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