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

DOI10.1016/J.JKSS.2014.09.004MaRDI QIDQ2355271zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5816769 (Why is no real title available?)
• A limit theorem for mildly explosive autoregression with stable errors
• Donsker's theorem for self-normalized partial sums processes
• Limit theory for moderate deviations from a unit root
• Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
• M-estimation for autoregression with infinite variance
• Mildly explosive autoregression under weak and strong dependence
• Probability inequalities.
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Quantile regression.
• Regression Quantiles
• Uniform Limit Theory for Stationary Autoregression
• When is the Student \(t\)-statistic asymptotically standard normal?

Cited in

(10)

• Quantile inference for nonstationary processes with infinite variance innovations
• A note on self-weighted quantile estimation for infinite variance quantile autoregression models
• Limit theory for moderate deviations from a unit root with a break in variance
• Quantile inference for near-integrated autoregressive times series with infinite variance
• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
• Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
• Unit Root Quantile Autoregression Inference
• Composite quantile estimation for moderate deviations from a unit root model with possibly infinite variance errors
• scientific article; zbMATH DE number 5816769 (Why is no real title available?)
• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence

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