TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA

DOI10.1081/STA-120003137zbMATH Open1009.62579OpenAlexW1968936803MaRDI QIDQ4540748FDOQ4540748

Authors: Colin M. Gallagher 

Publication date: 28 July 2002

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120003137

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• The Durbin-Watson ratio under infinite-variance errors
• Stable limits for partial sums of dependent random variables
• Simple consistent estimators of stable distribution parameters
• A method for fitting stable autoregressive models using the autocovariation function

Cited In (4)

• A test for nonlinearity of time series with infinite variance
• Diagnostic check for heavy tail in linear time series
• Detecting dependence in heavy-tailed time series using Portmanteau-type dependence tests
• Testing for independence in heavy tailed and positive innovation time series

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