scientific article; zbMATH DE number 1089177

MaRDI QIDQ4365899zbMATH OpenFDO

Authors Richard A. Davis, Wei Wu

Publication date 1997

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(10)

• Bootstrapping point processes with some applications
• Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
• Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Filtering, prediction and simulation methods for noncausal processes
• M-estimation for general ARMA processes with infinite variance
• Unit root bootstrap tests under infinite variance
• Model identification for infinite variance autoregressive processes
• Robust inference in conditionally heteroskedastic autoregressions
• Time series estimation of the dynamic effects of disaster-type shocks

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