Functional convergence of stochastic integrals with application to statistical inference
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DOI: 10.1016/j.spa.2011.10.007
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References listed on IDEAS
- Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
- Davis, Richard A. & Dunsmuir, William T.M., 1996. "Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 12(1), pages 1-29, March.
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Cited by:
- Andreas S{o}jmark & Fabrice Wunderlich, 2023. "Functional CLTs for subordinated L\'evy models in physics, finance, and econometrics," Papers 2312.15119, arXiv.org, revised Jan 2024.
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Keywords
Weak convergence; Stochastic processes; Unit root problem;All these keywords.
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