Stability and asymptotics for autoregressive processes

DOI10.1214/16-EJS1213MaRDI QIDQ502835zbMATH OpenFDO

Authors Likai Chen, Wei Biao Wu

Publication date 11 January 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1480993452

zbMATH Keywords

stationaritynonlinear time seriesMarkov processinvariance principleautoregressive modelsfunctional dependence measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(6)

• Concentration inequalities for non-causal random fields
• ON THE STABILITY OF A HETEROSCEDASTIC PROCESS
• Testing the stability of the functional autoregressive process
• Concentration inequalities for empirical processes of linear time series
• Stable limit theorems for empirical processes under conditional neighborhood dependence
• Autostabilizing nonlinear reflected process

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