|Title:||Diagnostic checking in linear processes with infinite variance|
|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 employed.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
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