Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
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Publication:2445492
DOI10.1007/s11009-012-9306-7zbMath1284.62558OpenAlexW2057136186MaRDI QIDQ2445492
Sai-Hua Huang, Chengguo Weng, Tian-Xiao Pang
Publication date: 14 April 2014
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-012-9306-7
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Related Items (5)
ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES ⋮ Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence ⋮ Quantile inference for moderate deviations from a unit root model with infinite variance
Cites Work
- Limit theory for moderate deviations from a unit root
- More limit theory for the sample correlation function of moving averages
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotic distribution of an estimator of the boundary parameter of an unstable process
- When is the Student \(t\)-statistic asymptotically standard normal?
- Donsker's theorem for self-normalized partial sums processes
- A note on unit root tests with heavy-tailed GARCH errors
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Uniform Limit Theory for Stationary Autoregression
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