TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA

DOI10.1081/STA-120003137zbMath1009.62579OpenAlexW1968936803MaRDI QIDQ4540748

Colin M. Gallagher

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120003137

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Cites Work

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• The Durbin-Watson ratio under infinite-variance errors
• Stable limits for partial sums of dependent random variables
• Simple consistent estimators of stable distribution parameters
• A method for fitting stable autoregressive models using the autocovariation function

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