CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

被引：0

作者：

Fu, Ke-Ang ^{[1
]}

Ni, Jialin ^{[2
]}

Dong, Yajuan ^{[2
]}

机构：

[1] Zhejiang Univ City Coll, Dept Stat, Hangzhou 310015, Peoples R China

[2] Zhejiang Gongshang Univ, Sch Math & Stat, Hangzhou 310018, Peoples R China

来源：

LITHUANIAN MATHEMATICAL JOURNAL | 2022年 / 62卷 / 01期

关键词：

asymptotic distribution; composite quantile regression; infinite variance; nearly nonstationary autoregressive model; COMPOSITE QUANTILE REGRESSION; ASYMPTOTIC THEORY; LIMIT-THEOREMS; TIME-SERIES; SELECTION;

D O I：

10.1007/s10986-021-09539-4

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We consider the nearly nonstationary autoregressive model y(t) = q(n)y(t-1)+u(t), where q(n) = 1-c/n, c is a fixed constant, and {u(t), t >= 1} is a sequence of innovations belonging to the domain of attraction of a stable distribution with index 0 < alpha < 2. We construct a composite quantile regression estimator for the autoregressive coefficient and establish the asymptotic distribution of this estimator under some mild conditions.

引用

页码：1 / 9

页数：9

共 50 条

[1] CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
Ke-Ang Fu
Jialin Ni
Yajuan Dong
Lithuanian Mathematical Journal, 2022, 62 : 1 - 9
[2] SIEVE-BASED INFERENCE FOR INFINITE-VARIANCE LINEAR PROCESSES
Cavaliere, Giuseppe
Georgiev, Iliyan
Taylor, A. M. Robert
ANNALS OF STATISTICS, 2016, 44 (04): : 1467 - 1494
[3] Weighted composite quantile inference for nearly nonstationary autoregressive models
Liu, Bingqi
Pang, Tianxiao
STATISTICAL METHODS AND APPLICATIONS, 2024, 33 (05): : 1337 - 1379
[4] INFERENCE FOR NEARLY NONSTATIONARY PROCESSES UNDER STRONG DEPENDENCE WITH INFINITE VARIANCE
Chan, Ngai Hang
Zhang, Rong-Mao
STATISTICA SINICA, 2009, 19 (03) : 925 - 947
[5] Inference for Spatial Autoregressive Models with Infinite Variance Noises
Gui Li LIAO
Qi Meng LIU
Rong Mao ZHANG
ActaMathematicaSinica, 2020, 36 (12) : 1395 - 1416
[6] Inference for Spatial Autoregressive Models with Infinite Variance Noises
Gui Li Liao
Qi Meng Liu
Rong Mao Zhang
Acta Mathematica Sinica, English Series, 2020, 36 : 1395 - 1416
[7] Inference for Spatial Autoregressive Models with Infinite Variance Noises
Gui Li LIAO
Qi Meng LIU
Rong Mao ZHANG
Acta Mathematica Sinica,English Series, 2020, (12) : 1395 - 1416
[8] Inference for Spatial Autoregressive Models with Infinite Variance Noises
Liao, Gui Li
Liu, Qi Meng
Zhang, Rong Mao
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2020, 36 (12) : 1395 - 1416
[9] Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Hwang, Kyo-Shin
Pang, Tian-Xiao
STATISTICS & PROBABILITY LETTERS, 2009, 79 (22) : 2374 - 2379
[10] Quantile inference for nonstationary processes with infinite variance innovations
Qi-meng Liu
Gui-li Liao
Rong-mao Zhang
Applied Mathematics-A Journal of Chinese Universities, 2021, 36 : 443 - 461

← 1 2 3 4 5 →