Trimmed stable AR(1) processes

DOI10.1016/J.SPA.2014.05.001MaRDI QIDQ404137zbMATH OpenOpenAlexFDO

Authors István Berkes, Alina Bazarova, Lajos Horváth

Publication date 4 September 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2014.05.001

zbMATH Keywords

asymptotic normalityheavy tailstrimmingautoregressive(1) processesCUSUM processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

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Cited in

(5)

• Asymptotics of trimmed CUSUM statistics
• A trimmed mean of location of an AR\((\infty)\) stationary process
• Rejoinder on: ``Extensions of some classical methods in change point analysis
• Tests based on simplicial depth for AR(1) models with explosion
• Fully observed INAR(1) processes

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