Inference for Near-Integrated Time Series With Infinite Variance
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Publication:5748779
DOI10.2307/2289603zbMath0717.62081OpenAlexW4233959853MaRDI QIDQ5748779
Publication date: 1990
Full work available at URL: https://doi.org/10.2307/2289603
weak convergenceLévy processesstochastic integralsunified theorydomain of attraction of a stable lawautoregressive coefficientroot testsasymptotic distribution of the least squares estimatecointegrationsheavy-tailed noise sequencenear-integrated autoregressive time series with infinite variance
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
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