THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES

DOI10.1017/S0266466601174013zbMATH Open1109.60316OpenAlexW1988122674MaRDI QIDQ4807261FDOQ4807261

Authors: Hannes Leeb, Benedikt M. Pötscher 

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466601174013

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Stochastic processes (60G99)

Cited In (2)

• On unit roots for spatial autoregressive models
• Variance of partial sums of stationary sequences

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