Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence

DOI10.1080/03610926.2014.904354zbMath1346.60025OpenAlexW2345355219MaRDI QIDQ5739174

Zheng Yan Lin, Zhiyong Zhou

Publication date: 15 July 2016

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

Full work available at URL: https://doi.org/10.1080/03610926.2014.904354

zbMATH Keywords

asymptotic normalityrandom coefficientsautoregressive process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05)

Cites Work

• Limit theory for moderate deviations from a unit root
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• When is the Student \(t\)-statistic asymptotically standard normal?
• Donsker's theorem for self-normalized partial sums processes
• Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
• Limit Theory for Random Coefficient First-Order Autoregressive Process
• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Probability Inequalities

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