The sample ACF of a simple bilinear process

DOI10.1016/S0304-4149(99)00013-7zbMATH Open0997.60012OpenAlexW2038005533MaRDI QIDQ1613623FDOQ1613623

Authors: Bojan Basrak, Richard A. Davis, T. Mikosch 

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00013-7

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zbMATH Keywords

heavy tailspoint processmixing conditionsbilinear processsample autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Cites Work

• Extremal theory for stochastic processes
• An introduction to the theory of point processes
• Random difference equations and renewal theory for products of random matrices
• Extremal behaviour of stationary Markov chains with applications
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Title not available (Why is that?)
• Title not available (Why is that?)
• Markov chains and stochastic stability
• Implicit renewal theory and tails of solutions of random equations
• Limit theory for the sample covariance and correlation functions of moving averages
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Limit theory for bilinear processes with heavy-tailed noise
• More limit theory for the sample correlation function of moving averages
• Extremes of bilinear time series models

Cited In (20)

• On an independent and identically distributed mixture bilinear time-series model
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Strong approximation of the empirical process of GARCH sequences
• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
• An integer-valued bilinear time series model via two random operators
• INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
• The extremogram: a correlogram for extreme events
• A special integer-valued bilinear time series model with applications
• Interval estimation for a simple bilinear model
• Periodic stationarity of random coefficient periodic autoregressions
• The asymptotic convexity of the negative likelihood function of GARCH models
• On the extremes of a class of non-linear processes with heavy tailed innovations
• The rate of consistency of the quasi-maximum likelihood estimator.
• ON THE DISTRIBUTION OF A SIMPLE STATIONARY BILINEAR PROCESS
• Asymptotic inference for unit root processes with GARCH(1,1) errors
• On the non-negative first-order exponential bilinear time series model
• Stable limits for sums of dependent infinite variance random variables
• Integer-valued bilinear model with dependent counting series
• From rational bubbles to crashes
• Sample correlation behavior for the heavy tailed general bilinear process

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