CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

DOI10.1007/S10986-021-09539-4zbMATH Open1482.62091OpenAlexW3202027515MaRDI QIDQ2113611FDOQ2113611

Ya-Juan Dong, Ke-Ang Fu, Jialin Ni

Publication date: 14 March 2022

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-021-09539-4

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zbMATH Keywords

asymptotic distributioncomposite quantile regressioninfinite variancenearly nonstationary autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Regression Quantiles
• A bivariate stable characterization and domains of attraction
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• Composite quantile regression and the oracle model selection theory
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limit theory for moderate deviations from a unit root
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Towards a unified asymptotic theory for autoregression
• Variable selection in high-dimensional partially linear additive models for composite quantile regression
• Point processes, regular variation and weak convergence
• Functional central limit theorems for sums of nearly nonstationary processes
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Uniform Limit Theory for Stationary Autoregression
• M-estimation for autoregression with infinite variance
• Composite quantile regression estimation for P-GARCH processes
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
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Cited In (1)

• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence

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