CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

DOI10.1007/s10986-021-09539-4zbMath1482.62091OpenAlexW3202027515MaRDI QIDQ2113611

Jialin Ni, Ya-Juan Dong, Ke Ang Fu

Publication date: 14 March 2022

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-021-09539-4

zbMATH Keywords

asymptotic distributioninfinite variancecomposite quantile regressionnearly nonstationary autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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