LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance

DOI10.1080/03610926.2012.705943zbMath1308.60036OpenAlexW2056136996MaRDI QIDQ2931564

Hui Zhou, Jie Li, Ke Ang Fu

Publication date: 26 November 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.705943

zbMATH Keywords

law of the iterated logarithmstrong approximationAR(1) modeladjusted range of partial sums

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Cites Work

• Stock market prices and long-range dependence
• Rates of clustering in Strassen's LIL for partial sum processes
• The law of the iterated logarithm for the rescaled R/S statistics without the second moment
• A generalization of strassen's functional LIL
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• Some results on two-sided LIL behavior
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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