Quantile inference for moderate deviations from a unit root model with infinite variance

DOI10.1016/J.JKSS.2014.09.004zbMATH Open1319.60070OpenAlexW2063829783MaRDI QIDQ2355271FDOQ2355271

Authors: Zhiyong Zhou, Zhengyan Lin 

Publication date: 21 July 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.09.004

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zbMATH Keywords

moderate deviationsinfinite varianceunit rootquantile regression estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Large deviations (60F10) Central limit and other weak theorems (60F05) Limit theorems in probability theory (60F99)

Cites Work

• Regression Quantiles
• Quantile regression.
• Limit theory for moderate deviations from a unit root
• When is the Student \(t\)-statistic asymptotically standard normal?
• Donsker's theorem for self-normalized partial sums processes
• Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
• A limit theorem for mildly explosive autoregression with stable errors
• Uniform Limit Theory for Stationary Autoregression
• Mildly explosive autoregression under weak and strong dependence
• M-estimation for autoregression with infinite variance
• Probability inequalities.
• Title not available (Why is that?)
• Quantile inference for near-integrated autoregressive times series with infinite variance

Cited In (10)

• A note on self-weighted quantile estimation for infinite variance quantile autoregression models
• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• Limit theory for moderate deviations from a unit root with a break in variance
• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
• Composite quantile estimation for moderate deviations from a unit root model with possibly infinite variance errors
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Unit Root Quantile Autoregression Inference
• Quantile inference for nonstationary processes with infinite variance innovations
• Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
• Title not available (Why is that?)

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