Asymptotic theory for near integrated processes driven by tempered linear processes
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Publication:2305984
DOI10.1016/j.jeconom.2020.01.013zbMath1456.62215OpenAlexW2902682042MaRDI QIDQ2305984
Qiying Wang, Farzad Sabzikar, Peter C. B. Phillips
Publication date: 20 March 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2384
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)
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