Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance

DOI10.1016/j.spl.2009.08.012zbMath1176.62085MaRDI QIDQ1036617

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

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

Related Items

CQR-based inference for the infinite-variance nearly nonstationary autoregressive models, Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations

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