Stochastic Equicontinuity in Nonlinear Time Series Models

DOI10.1111/ECTJ.12013MaRDI QIDQ6233616arXivFDO

Authors Andreas Hagemann

Publication date 11 June 2012

Published in arXiv

Full work available at URL https://doi.org/10.1111/ECTJ.12013

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

arXiv classification

math.STstat.TH

Abstract: In this paper I provide simple and easily verifiable conditions under which a strong form of stochastic equicontinuity holds in a wide variety of modern time series models. In contrast to most results currently available in the literature, my methods avoid mixing conditions. I discuss several applications in detail.

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