Citation
W. Kramer et R. Runde, Diagnostic checking in linear processes with infinite variance, MATH COMP M, 34(9-11), 2001, pp. 1123-1131
Citations number
13
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICAL AND COMPUTER MODELLING
ISSN journal
08957177
→ ACNP
Volume
34
Issue
9-11
Year of publication
2001
Pages
1123 - 1131
Database
ISI
SICI code
0895-7177(200111)34:9-11<1123:DCILPW>2.0.ZU;2-2
Abstract
We consider empirical autocorrelations of residuals from infinite variance
autoregressive processes. Unlike the finite-variance case, it emerges that
the limiting distribution, after suitable normalization, is not always more
concentrated around zero when residuals rather than true innovations are e
mployed. (C) 2001 Elsevier Science Ltd. All rights reserved.