The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes

DOI10.1007/978-3-319-25826-3_13zbMath1354.60046arXiv1502.06338MaRDI QIDQ2956056

Thibault Jaisson, Mathieu Rosenbaum

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.06338

zbMATH Keywords

limit theorems; autoregressive processes; Ornstein-Uhlenbeck processes; volatility modeling; nearly unstable processes; fractional diffusions; AR(\(\infty\))

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60F17: Functional limit theorems; invariance principles

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Uses Software

• longmemo

Cites Work

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