Sieve-based inference for infinite-variance linear processes

DOI10.1214/15-AOS1419zbMATH Open1459.62168OpenAlexW2200192520MaRDI QIDQ309715FDOQ309715

Authors: Giuseppe Cavaliere, Iliyan Georgiev, A. M. Robert Taylor 

Publication date: 7 September 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1467894705

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zbMATH Keywords

bootstraptime seriesinfinite variancesieve autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• On the range of validity of the autoregressive sieve bootstrap
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• Title not available (Why is that?)
• Robust Statistics
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• Propriétés des matrices ``bien localisées près de leur diagonale et quelques applications. (Properties of matrices ``well localized near the diagonal and some applications)
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• More limit theory for the sample correlation function of moving averages
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• Four short stories about Toeplitz matrix calculations
• Resampling permutations in regression without second moments
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• Sieve-based inference for infinite-variance linear processes
• RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
• Title not available (Why is that?)
• Extreme Values in Finance, Telecommunications, and the Environment
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• A parametric bootstrap for heavy-tailed distributions
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Cited In (7)

• Random coefficient continuous systems: testing for extreme sample path behavior
• Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
• Wild bootstrap of the sample mean in the infinite variance case
• Robust inference in conditionally heteroskedastic autoregressions
• Link of moments before and after transformations, with an application to resampling from fat-tailed distributions
• Sieve-based inference for infinite-variance linear processes
• Unit root inference for non-stationary linear processes driven by infinite variance innovations

Uses Software

• robustbase

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