Central Limit Theorem for Linear Processes with Infinite Variance
Author
Abstract
Suggested Citation
DOI: 10.1007/s10959-011-0393-0
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Peligrad, Magda & Sang, Hailin, 2012. "Asymptotic Properties Of Self-Normalized Linear Processes With Long Memory," Econometric Theory, Cambridge University Press, vol. 28(3), pages 548-569, June.
- Knight, Keith, 1991. "Limit Theory for M-Estimates in an Integrated Infinite Variance," Econometric Theory, Cambridge University Press, vol. 7(2), pages 200-212, June.
- Volný, Dalibor, 1993. "Approximating martingales and the central limit theorem for strictly stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 44(1), pages 41-74, January.
- Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Raluca Balan & Adam Jakubowski & Sana Louhichi, 2016. "Functional Convergence of Linear Processes with Heavy-Tailed Innovations," Journal of Theoretical Probability, Springer, vol. 29(2), pages 491-526, June.
- Ta Cong Son & Le Van Dung, 2022. "Central Limit Theorems for Weighted Sums of Dependent Random Vectors in Hilbert Spaces via the Theory of the Regular Variation," Journal of Theoretical Probability, Springer, vol. 35(2), pages 988-1012, June.
- Peligrad, Magda & Sang, Hailin & Xiao, Yimin & Yang, Guangyu, 2022. "Limit theorems for linear random fields with innovations in the domain of attraction of a stable law," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 596-621.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dedecker, Jérôme & Merlevède, Florence, 2011. "Rates of convergence in the central limit theorem for linear statistics of martingale differences," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1013-1043, May.
- Hidalgo, Javier, 2007. "Specification testing for regression models with dependent data," LSE Research Online Documents on Economics 6799, London School of Economics and Political Science, LSE Library.
- Adam McCloskey, 2013.
"Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
- Adam McCloskey, 2012. "Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends," Working Papers 2012-17, Brown University, Department of Economics.
- Mccloskey, Adam & Perron, Pierre, 2013.
"Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Youndjé, É. & Vieu, P., 2006. "A note on quantile estimation for long-range dependent stochastic processes," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 109-116, January.
- Phillips, Peter C.B., 1995.
"Robust Nonstationary Regression,"
Econometric Theory, Cambridge University Press, vol. 11(5), pages 912-951, October.
- Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation for Research in Economics, Yale University.
- Robinson, Peter M., 2004. "Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics 2157, London School of Economics and Political Science, LSE Library.
- Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021. "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, vol. 224(2), pages 416-438.
- D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
- Toshio Honda, 2013.
"Nonparametric quantile regression with heavy-tailed and strongly dependent errors,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 23-47, February.
- Toshio Honda, 2010. "Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors," Global COE Hi-Stat Discussion Paper Series gd10-157, Institute of Economic Research, Hitotsubashi University.
- Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
- Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
- Hassler, U. & Marmol, F. & Velasco, C., 2006.
"Residual log-periodogram inference for long-run relationships,"
Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
- Zhang, Li-Xin & Zhang, Yang, 2015. "Asymptotics for a class of dependent random variables," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 47-56.
- Chan, Ngai Hang & Zhang, Rong-Mao, 2009. "Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4124-4148, December.
- Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996.
"Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
- Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's," Cowles Foundation Discussion Papers 1080, Cowles Foundation for Research in Economics, Yale University.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016.
"Quantile Regression for Long Memory Testing: A Case of Realized Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
- Paulo M.M. Rodrigues & Uwe Hassler, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- Lihong Wang, 2020. "Lack of fit test for long memory regression models," Statistical Papers, Springer, vol. 61(3), pages 1043-1067, June.
- Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
More about this item
Keywords
Linear process; Central limit theorem; Martingale; Mixing; Infinite variance;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:26:y:2013:i:1:d:10.1007_s10959-011-0393-0. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.