On the law of large numbers for (geometrically) ergodic Markov chains

DOI10.1017/S0266466607070326zbMATH Open1237.60023OpenAlexW2032575170MaRDI QIDQ2886965FDOQ2886965

Authors: Søren Tolver Jensen, Anders Rahbek 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070326

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15) Discrete-time Markov processes on general state spaces (60J05)

Cites Work

• A maximal inequality and dependent strong laws
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Chi-Square Diagnostic Tests for Econometric Models: Theory
• Non-linear time series and Markov chains

Cited In (15)

• On robust estimation of negative binomial INARCH models
• Estimation and asymptotic inference in the AR-ARCH model
• Nonlinear Poisson autoregression
• A quantitative McDiarmid's inequality for geometrically ergodic Markov chains
• Title not available (Why is that?)
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Likelihood-based inference for cointegration with nonlinear error-correction
• Method of moments estimation of GO-GARCH models
• Cointegration rank testing under conditional heteroskedasticity
• Testing for parameter stability in nonlinear autoregressive models
• Autoregressive and moving average models for zero‐inflated count time series
• Asymptotic normality of the MLE in the level-effect ARCH model
• Robust fitting of INARCH models
• Global linear convergence of evolution strategies with recombination on scaling-invariant functions
• Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function

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