Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models

DOI10.1007/s11203-017-9159-3OpenAlexW2605003635MaRDI QIDQ1687323

Fumiya Akashi

Publication date: 22 December 2017

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-017-9159-3

zbMATH Keywords

infinite variancegeneralized empirical likelihoodlinear hypothesisheavy-tailed time seriesself-weighted least absolute deviations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Stable stochastic processes (60G52)

Related Items (1)

Robust causality test of infinite variance processes

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