The Variance Ratio Test with Stable Paretian Errors

DOI10.1111/1467-9892.01664zbMath0991.62067OpenAlexW2040550877MaRDI QIDQ4544841

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Publication date: 5 August 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.01664

zbMATH Keywords

variance ratio testMonte-Carlo experimentsstable Pareto distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Cites Work

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• The Durbin-Watson ratio under infinite-variance errors
• Simple consistent estimators of stable distribution parameters
• Regression-Type Estimation of the Parameters of Stable Laws
• An iterative procedure for the estimation of the parameters of stable laws
• Are Output Fluctuations Transitory?

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