Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
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- Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014. "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES ECARES 2014-05, ULB -- Universite Libre de Bruxelles.
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Keywords
Polynomial-like noise variance Asymptotic variance Order of variance growth Eicker-White variance estimator;Statistics
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