On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

DOI10.1016/j.spa.2014.09.016zbMath1327.60089OpenAlexW2080536673MaRDI QIDQ2512843

Chor-Yiu Sin, Shiqing Ling, Rong Mao Zhang

Publication date: 30 January 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.09.016

zbMATH Keywords

long memorylinear processesRosenblatt processBrownian motionsshort memory\(\alpha\)-stable processesfunctional limitsGARCH(1,1) noises

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Brownian motion (60J65) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (9)

Nearly nonstationary processes under infinite variance GARCH noises ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ MCMC interweaving strategy for estimating stochastic volatility model and its application ⋮ Rank test of unit‐root hypothesis with AR‐GARCH errors ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation ⋮ NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series ⋮ LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

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