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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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98_08.pdf | DNB | 129.82 kB | Adobe PDF | View/Open |
tr08-98.ps | 95.88 kB | Postscript | View/Open |
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