Trimmed stable AR(1) processes

DOI10.1016/J.SPA.2014.05.001zbMATH Open1398.60069OpenAlexW1979047320MaRDI QIDQ404137FDOQ404137

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

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• scientific article; zbMATH DE number 3909577
• Publication:3479413

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 (4)

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

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