Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
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Publication:1611570
DOI10.2307/3318623zbMath0996.62077MaRDI QIDQ1611570
Publication date: 5 November 2002
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3318623
point processes; heavy tails; strong mixing; extremal index; geometric ergodicity; autoregressive process; ARCH model; multivariate regular variation; sample autocovariance function
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
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