scientific article; zbMATH DE number 7448214

DOI10.13299/J.CNKI.AMJCU.002163MaRDI QIDQ3385148zbMATH OpenFDO

Authors Cheng Xu, Tian-Xiao Pang

Publication date 17 December 2021

zbMATH Keywords

heavy taillimiting distributionunit root modelcomposite quantile estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(2)

• Composite quantile estimation for moderate deviations from a unit root model with possibly infinite variance errors
• Unit Root Quantile Autoregression Inference

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