Trimmed stable AR(1) processes

DOI10.1016/j.spa.2014.05.001zbMath1398.60069OpenAlexW1979047320MaRDI QIDQ404137

István Berkes, Alina Bazarova, Lajos Horváth

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.05.001

zbMATH Keywords

asymptotic normalityheavy tailstrimmingautoregressive(1) processesCUSUM processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

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Rejoinder on: ``Extensions of some classical methods in change point analysis ⋮ Tests Based on Simplicial Depth for AR(1) Models With Explosion

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