Bootstrapping unstable first order autoregressive process with errors in the domain of attraction of stable law

DOI10.1080/15326349908807523zbMath0919.62110OpenAlexW1992706258MaRDI QIDQ4237921

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Publication date: 28 June 1999

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349908807523

zbMATH Keywords

bootstrapstable lawrandom walkautoregressive process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations ⋮ Modified tests for variance changes in autoregressive regression ⋮ A bootstrap approximation to a unit root test statistic for heavy-tailed observations. ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law ⋮ Testing for bubbles and change-points

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