Empirical processes for infinite variance autoregressive models
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Publication:413784
DOI10.1016/J.JMVA.2012.01.018zbMATH Open1249.62008OpenAlexW3121848610MaRDI QIDQ413784FDOQ413784
Kilani Ghoudi, Chafik Bouhaddioui
Publication date: 7 May 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.01.018
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- Theory & Methods: ε‐Repetitions of the Maximum Residuals in an AR(1) Model
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- Consistency of Araike's information criterion for infinite variance autoregressive processes
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- Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
- Diagnostic tests for non-causal time series with infinite variance
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