Stability and asymptotics for autoregressive processes

DOI10.1214/16-EJS1213MaRDI QIDQ502835zbMATHFDO

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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