Renewal regime switching and stable limit laws

DOI10.1016/j.jeconom.2004.09.010zbMath1337.62195OpenAlexW2126693233MaRDI QIDQ265118

Remigijus Leipus, Donatas Surgailis, Vygantas Paulauskas

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.010

zbMATH Keywords

regime switchingrenewal reward processstable Lévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Renewal theory (60K05)

Related Items (9)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Invariance principles for tempered fractionally integrated processes ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ Discrete-time trawl processes ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ Anisotropic scaling limits of long-range dependent random fields ⋮ On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise ⋮ Scaling transition for long-range dependent Gaussian random fields

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