A law of large numbers and central limit theorem for the logarithm of an autoregressive process with a stationary driving sequence
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Publication:1017805
DOI10.1016/j.spl.2008.11.027zbMath1162.60316OpenAlexW2017541882MaRDI QIDQ1017805
Publication date: 12 May 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.11.027
Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15)
Cites Work
- Strict stationarity of generalized autoregressive processes
- Random difference equations and renewal theory for products of random matrices
- Regular variation in the tail behaviour of solutions of random difference equations
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Existence of moments in a stationary stochastic difference equation
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- On the Continuity of the Distribution of a Sum of Dependent Variables Connected with Independent Walks on Lines
- Perpetuities with thin tails
- Unnamed Item
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