ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY

DOI10.1017/S026646661100065XzbMath1263.62113arXiv1006.1572MaRDI QIDQ2890703

Hailin Sang, Magda Peligrad

Publication date: 11 June 2012

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

Full work available at URL: https://arxiv.org/abs/1006.1572

zbMATH Keywords

time seriesfractional Brownian motionheavy tailsunit root testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Related Items (9)

Self-normalized limit theorems for linear processes generated by \(\rho\)-mixing innovations ⋮ Limit theorems for linear random fields with innovations in the domain of attraction of a stable law ⋮ A general result on almost sure central limit theorem for self-normalized sums for mixing sequences ⋮ A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations ⋮ Asymptotics for a class of dependent random variables ⋮ On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations ⋮ Central limit theorem for linear processes with infinite variance ⋮ A local limit theorem for linear random fields ⋮ The Self-normalized Asymptotic Results for Linear Processes

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