Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
DOI10.1016/J.SPL.2009.08.012zbMATH Open1176.62085OpenAlexW1981730499MaRDI QIDQ1036617FDOQ1036617
Tian-Xiao Pang, Kyo-Shin Hwang
Publication date: 13 November 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.012
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Cites Work
- Self-Normalized Processes
- Asymptotic inference for nearly nonstationary AR(1) processes
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- When is the Student \(t\)-statistic asymptotically standard normal?
- Donsker's theorem for self-normalized partial sums processes
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- On the Statistical Treatment of Linear Stochastic Difference Equations
- Inference for Near-Integrated Time Series With Infinite Variance
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Asymptotic distribution of an estimator of the boundary parameter of an unstable process
Cited In (14)
- Asymptotic inference for nearly nonstationary AR(1) processes
- Title not available (Why is that?)
- Nearly nonstationary AR processes with mixing innovaton
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Title not available (Why is that?)
- Asymptotics for stationary very nearly unit root processes
- Asymptotic inference for a nonstationary double AR(1) model
- Inference for mean change-point in infinite variance \(AR(p)\) process
- Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
- Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
- Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
- Title not available (Why is that?)
- Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
- CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
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