Stable limits of empirical processes of moving averages with infinite variance
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References listed on IDEAS
- Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
- Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
- Kokoszka, P. & Mikosch, T., 1997. "The integrated periodogram for long-memory processes with finite or infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 66(1), pages 55-78, February.
- Koul, Hira L. & Surgailis, Donatas, 2001. "Asymptotics of empirical processes of long memory moving averages with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 309-336, February.
More about this item
KeywordsEmpirical process Moving average process Infinite variance Functional limit theorem Lévy process;
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