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Diagnostic Tests for Non-causal Time Series with Infinite Variance
Non-causal AR Process Infinite Variance Goodness-of-fit Portmanteau Test alpha-stabledistribution
2012/11/22
We study goodness-of-fit testing for non-causal autoregressive time series with non-Gaussian stable noise. To model time series exhibiting sharp spikes or occasional bursts of outlying observations, t...
A functional limit theorem for partial sums of dependent random variables with infinite variance
convergence in distribution functional limit the-orem GARCH mixing moving average partial sum point processes reg-ular variation
2010/3/9
Under an appropriate regular variation condition, the affinely
normalized partial sums of a sequence of independent and identically dis-
tributed random variables converges weakly to a non-Gaussian ...
Prediction of infinite variance fractional ARIMA: 65
Prediction infinite variance fractional ARIMA: 65
2009/9/22
We establish conditions for the existence and invertibility
of fractionally differenced ARIMA time series whose innovations
are in the domain of attraction of an a-stable law with E < 2
and consequ...
M-estimation for linear regression with infinite variance
M-estimation linear regression infinite variance
2009/9/22
The limiting behavior of M-estimates for a Iinear model
when the regressors and/or errors have heavy tailed distributions is
given. By hermy toil we mean that the distribution is in the domain of
a...
Strong Approximation for Mixing Sequences with Infinite Variance
mixing sequence domain of attraction of the normal law truncation blocking
2009/4/22
In this paper we prove a strong approximation result for a mixing sequence with infinite variance and logarithmic decay rate of the mixing coefficient. The result is proved under the assumption that t...
Strong Approximation for Mixing Sequences with Infinite Variance
Approximation Mixing Sequences
2009/4/1
In this paper we prove a strong approximation result for a mixing sequence with infinite variance and logarithmic decay rate of the mixing coefficient. The result is proved under the assumption that t...