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

DOI10.1007/S10986-021-09539-4MaRDI QIDQ2113611zbMATH OpenOpenAlexFDO

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

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

zbMATH Keywords

asymptotic distributioncomposite quantile regressioninfinite variancenearly nonstationary autoregressive model

Mathematics Subject Classification ID

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

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Cites work

• A bivariate stable characterization and domains of attraction
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Composite quantile regression and the oracle model selection theory
• Composite quantile regression estimation for P-GARCH processes
• Functional central limit theorems for sums of nearly nonstationary processes
• Functional limit theorems in Hölder space for residuals of nearly nonstationary AR(1) process
• scientific article; zbMATH DE number 5586340 (Why is no real title available?)
• Limit theory for moderate deviations from a unit root
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• M-estimation for autoregression with infinite variance
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Point processes, regular variation and weak convergence
• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Regression Quantiles
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Towards a unified asymptotic theory for autoregression
• Uniform Limit Theory for Stationary Autoregression
• Variable selection in high-dimensional partially linear additive models for composite quantile regression

Cited in

(2)

• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• Asymptotics of the composite quantile regression estimator for nonlinear autoregressive models

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