A CLT for martingale transforms with infinite variance

DOI10.1016/J.SPL.2016.07.015MaRDI QIDQ334015zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
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• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
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• A note on the QMLE limit theory in the non-stationary ARCH(1) model

Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
• Estimation in conditionally heteroscedatic time series models.
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Norming operators for generalized domains of attraction
• Principle of conditioning revisited
• Weak law of large numbers for arrays of random variables

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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