Truncating estimation for the change in stochastic trend with heavy-tailed innovations

DOI10.1007/s00362-009-0223-yzbMath1247.60046MaRDI QIDQ451494

Ruibing Qin, Hao Jin, Zheng Tian

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0223-y

zbMATH Keywords

heavy-tails; change-point estimation; stochastic trend

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60G52: Stable stochastic processes

60F17: Functional limit theorems; invariance principles

62L12: Sequential estimation

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Fourier inference for stochastic volatility models with heavy-tailed innovations

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