A CLT for martingale transforms with infinite variance

DOI10.1016/J.SPL.2016.07.015zbMath1398.60039OpenAlexW3121946025MaRDI QIDQ334015

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

QMLECLTgeneralized domain of attractionmartingale transformmatrix normalizationself-normalized Wald tests

Mathematics Subject Classification ID

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

Related Items (1)

Convergence in mean and central limit theorems for weighted sums of martingale difference random vectors with infinite rth moments

Cites Work

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

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