Diagnostic checking in linear processes with infinite variance

Diagnostic checking in linear processes with infinite variance

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Article ID: iaor2004896
Country: Netherlands
Volume: 34
Issue: 9/11
Start Page Number: 1123
End Page Number: 1131
Publication Date: Nov 2001
Journal: Mathematical and Computer Modelling
Authors: ,
Keywords: ARIMA processes
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.

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