A CLT for martingale transforms with infinite variance

DOI10.1016/J.SPL.2016.07.015zbMATH Open1398.60039OpenAlexW3121946025MaRDI QIDQ334015FDOQ334015

Authors: Stelios Arvanitis, Alexandros Louka 

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.07.015

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zbMATH Keywords

CLTQMLEgeneralized domain of attractionmartingale transformmatrix normalizationself-normalized Wald tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42)

Cites Work

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• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Estimation in conditionally heteroscedatic time series models.
• Norming operators for generalized domains of attraction
• Weak law of large numbers for arrays of random variables
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Principle of conditioning revisited

Cited In (1)

• Convergence in mean and central limit theorems for weighted sums of martingale difference random vectors with infinite \(r\)th moments

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