Large sample theory for statistics of stable moving averages
From MaRDI portal
Publication:4831096
DOI10.1080/10485250310001622587zbMath1074.62059OpenAlexW2086823254MaRDI QIDQ4831096
Dimitris N. Politis, Tucker S. McElroy
Publication date: 20 December 2004
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485250310001622587
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)
Related Items
Cites Work
- Spectral estimates and stable processes
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- Tail index estimation for dependent data
- Subsampling for heteroskedastic time series
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- How misleading can sample ACFs of stable MAs be? (Very!)
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Large sample confidence regions based on subsamples under minimal assumptions
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Limit distributions of self-normalized sums
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- Subsampling inference for the mean in the heavy-tailed case.
