The sample ACF of a simple bilinear process

DOI10.1016/S0304-4149(99)00013-7MaRDI QIDQ1613623zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• An introduction to the theory of point processes
• Extremal behaviour of stationary Markov chains with applications
• Extremal theory for stochastic processes
• Extremes of bilinear time series models
• Implicit renewal theory and tails of solutions of random equations
• Limit theory for bilinear processes with heavy-tailed noise
• Limit theory for the sample covariance and correlation functions of moving averages
• Markov chains and stochastic stability
• More limit theory for the sample correlation function of moving averages
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Random difference equations and renewal theory for products of random matrices
• The sample autocorrelations of heavy-tailed processes with applications to ARCH

Cited in

(20)

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

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