On estimation and testing goodness of fit for \(m\)-dependent stable sequences

DOI10.1016/S0304-4076(00)00039-7zbMath0964.62106MaRDI QIDQ1841194

Rohit S. Deo

Publication date: 19 July 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

U-statisticscharacteristic indexthick tailed distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Robust Portmanteau TRA Tests and Their Limit Distribution ⋮ Indirect Estimation of α-Stable Distributions and Processes ⋮ Simulation analysis of threshold autoregressive unit root tests ⋮ Estimation of stable distributions by indirect inference

Cites Work

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• The asymptotic distributions of incomplete U-statistics
• Simple consistent estimators of stable distribution parameters
• On Some Convergence Properties of UStatistics
• Regression-Type Estimation of the Parameters of Stable Laws
• Asymptotic distribution of regression type estimators of parameters of stable laws
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• On the Stable Paretian Behavior of Stock-Market Prices
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• A Method for Simulating Stable Random Variables
• On the Properties of U-Statistics when the Observations are not Independent

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