Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance

DOI10.1016/j.spl.2009.08.012zbMath1176.62085OpenAlexW1981730499MaRDI QIDQ1036617

Tian-Xiao Pang, Kyo-Shin Hwang

Publication date: 13 November 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.012

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (2)

Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations ⋮ CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

Cites Work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• When is the Student \(t\)-statistic asymptotically standard normal?
• Donsker's theorem for self-normalized partial sums processes
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Self-Normalized Processes
• Towards a unified asymptotic theory for autoregression
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• Inference for Near-Integrated Time Series With Infinite Variance
• On the Statistical Treatment of Linear Stochastic Difference Equations

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