The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes

DOI10.1007/978-3-319-25826-3_13zbMath1354.60046arXiv1502.06338OpenAlexW2950025707MaRDI 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 theoremsautoregressive processesOrnstein-Uhlenbeck processesvolatility modelingnearly unstable processesfractional diffusionsAR(\(\infty\))

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Uses Software

• longmemo

Cites Work

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• Weak limit theorems for stochastic integrals and stochastic differential equations
• Unified asymptotic theory for nearly unstable AR(\(p\)) processes
• Functional central limit theorems for sums of nearly nonstationary processes
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Long memory in continuous-time stochastic volatility models
• The stochastic Fubini theorem revisited
• Towards a unified asymptotic theory for autoregression
• The Parameter Inference for Nearly Nonstationary Time Series
• ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
• Weak convergence of an autoregressive process used in modeling population growth
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• Modeling and Forecasting Realized Volatility

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