Authors: Krämer, Walter
Runde, Ralf
Title: Diagnostic checking in linear processes with infinite variance
Language (ISO): en
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.
URI: http://hdl.handle.net/2003/4876
http://dx.doi.org/10.17877/DE290R-15019
Issue Date: 1998
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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