Sieve-based inference for infinite-variance linear processes
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Publication:309715
DOI10.1214/15-AOS1419zbMath1459.62168OpenAlexW2200192520MaRDI QIDQ309715
Iliyan Georgiev, Giuseppe Cavaliere, A. M. Robert Taylor
Publication date: 7 September 2016
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1467894705
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)
Related Items (4)
Sieve-based inference for infinite-variance linear processes ⋮ LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Robust inference in conditionally heteroskedastic autoregressions
Uses Software
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