Bootstrap inference for nearly nonstationary autoregressive models with heavy-tailed innovations

zbMATH Open1289.62089MaRDI QIDQ2860174FDOQ2860174

Authors: Ke-Ang Fu, Jie Li, Wei Huang 

Publication date: 19 November 2013

Published in: Applied Mathematics. Series A (Chinese Edition) (Search for Journal in Brave)

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zbMATH Keywords

autoregressive modelsheavy-tailednearly nonstationarybootstrap resample

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

Cited In (7)

• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• On the distribution of the nearly unstable AR(1) process with heavy tails
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
• CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

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