Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
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Cites work
- Asymptotic distribution of an estimator of the boundary parameter of an unstable process
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Donsker's theorem for self-normalized partial sums processes
- Inference for Near-Integrated Time Series With Infinite Variance
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- On the Statistical Treatment of Linear Stochastic Difference Equations
- Self-Normalized Processes
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Towards a unified asymptotic theory for autoregression
- When is the Student \(t\)-statistic asymptotically standard normal?
Cited in
(20)- Asymptotic inference for a nonstationary double AR(1) model
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Inference for mean change-point in infinite variance \(AR(p)\) process
- Non-stationary autoregressive processes with infinite variance
- scientific article; zbMATH DE number 5586340 (Why is no real title available?)
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- Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
- Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
- Nearly nonstationary AR processes with mixing innovaton
- Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
- scientific article; zbMATH DE number 1515764 (Why is no real title available?)
- Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
- CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
- Asymptotics for stationary very nearly unit root processes
- Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
- Nearly nonstationary processes under infinite variance GARCH noises
- Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
- Limit theory for mildly integrated process with intercept
- scientific article; zbMATH DE number 4149409 (Why is no real title available?)
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
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