MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS

DOI10.1017/S0266466608080286zbMath1284.62577OpenAlexW2091327810MaRDI QIDQ3632396

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Publication date: 11 June 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608080286

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

M-ESTIMATION FOR A SPATIAL UNILATERAL AUTOREGRESSIVE MODEL WITH INFINITE VARIANCE INNOVATIONS ⋮ Non‐stationary autoregressive processes with infinite variance ⋮ Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law ⋮ Inference for spatial autoregressive models with infinite variance noises ⋮ COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” ⋮ M-estimation for near unit roots in spatial autoregression with infinite variance

Cites Work

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• Weak limit theorems for stochastic integrals and stochastic differential equations
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• M-estimation for autoregression with infinite variance
• Time series: theory and methods.
• A bivariate stable characterization and domains of attraction
• Cointegrated processes with infinite variance innovations
• Statistical inference in regression with heavy-tailed integrated variables
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Point processes, regular variation and weak convergence
• Inference for Near-Integrated Time Series With Infinite Variance
• Robust Statistics

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