Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence

DOI10.1016/j.spa.2009.09.010zbMath1177.62105OpenAlexW2091800720MaRDI QIDQ1045793

Ngai Hang Chan, Rong Mao Zhang

Publication date: 16 December 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.09.010

zbMATH Keywords

heavy-tailedlong-range dependentnear-integrated time series, quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Marked empirical processes for non-stationary time series ⋮ Quantile inference for nonstationary processes with infinite variance innovations ⋮ CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence in various topologies for stochastic integrals driven by semimartingales
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
• M-estimation for autoregression with infinite variance
• A central limit theorem for functions of a Markov chain with applications to shifts
• A bivariate stable characterization and domains of attraction
• Linear distribution processes
• Cointegrated processes with infinite variance innovations
• Stable limits of empirical processes of moving averages with infinite variance.
• Stable limits of sums of bounded functions of long memory moving averages with finite variance
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Time Series with Roots on or Near the Unit Circle
• Regression Quantiles
• Extreme Values in Finance, Telecommunications, and the Environment
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• A Limit Theorem for Financial Markets with Inert Investors

This page was built for publication: Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence