Non‐stationary autoregressive processes with infinite variance
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Publication:5397966
DOI10.1111/j.1467-9892.2012.00807.xzbMath1282.62190OpenAlexW1896601429MaRDI QIDQ5397966
Rong Mao Zhang, Ngai Hang Chan
Publication date: 25 February 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00807.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17)
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Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations, Inference in Heavy-Tailed Nonstationary Multivariate Time Series
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