ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS

DOI10.1017/S0266466607070326zbMath1237.60023OpenAlexW2032575170MaRDI QIDQ2886965

Søren Tolver Jensen, Anders Rahbek

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070326

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Strong limit theorems (60F15)

Related Items (12)

On robust estimation of negative binomial INARCH models ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ Nonlinear Poisson autoregression ⋮ Autoregressive and moving average models for zero‐inflated count time series ⋮ Global linear convergence of evolution strategies with recombination on scaling-invariant functions ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ ROBUST FITTING OF INARCH MODELS ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Method of moments estimation of GO-GARCH models ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts

Cites Work

• A maximal inequality and dependent strong laws
• Non-linear time series and Markov chains
• Chi-Square Diagnostic Tests for Econometric Models: Theory
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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