Trimmed stable AR(1) processes
From MaRDI portal
Publication:404137
DOI10.1016/j.spa.2014.05.001zbMath1398.60069OpenAlexW1979047320MaRDI QIDQ404137
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)
Related Items
Rejoinder on: ``Extensions of some classical methods in change point analysis ⋮ Tests Based on Simplicial Depth for AR(1) Models With Explosion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Detecting changes in functional linear models
- Asymptotics of trimmed CUSUM statistics
- The central limit theorem for sums of trimmed variables with heavy tails
- A functional limit theorem for dependent sequences with infinite variance stable limits
- Trimmed sums of long range dependent moving averages
- Functional limit theorems for linear processes in the domain of attraction of stable laws
- Selection from a stable box
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- What portion of the sample makes a partial sum asymptotically stable or normal?
- Limit theory for the sample covariance and correlation functions of moving averages
- Convergence to a stable distribution via order statistics
- Limit theorems on order statistics
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
- Asymptotics for linear processes
- A bivariate stable characterization and domains of attraction
- Asymptotic normality and subsequential limits of trimmed sums
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- The maximum of the periodogram for a heavy-tailed sequence.
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Structural breaks in time series
- A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS
- The Extreme Terms of a Sample and Their Role in the Sum of Independent Variables
- On the limit distributions of lightly trimmed sums
- ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
- The central limit problem for trimmed sums
- Conditions for linear processes to be strong-mixing
- On the Strong Mixing Property for Linear Sequences
- On the Extreme Terms of a Sample From the Domain of Attraction of a Stable Law
- Convergence of moments and related functional in the general central limit theorem in banach spaces
- Convergence in distribution of lightly trimmed and untrimmed sums are equivalent
- Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes
- Testing for structural change of AR model to threshold AR model
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Inference for Near-Integrated Time Series With Infinite Variance
- The Influence of the Maximum Term in the Addition of Independent Random Variables
