Asymptotics of empirical processes of long memory moving averages with infinite variance

Hira L. Koul and Donatas Surgailis

Stochastic Processes and their Applications, 2001, vol. 91, issue 2, 309-336

Abstract: This paper obtains a uniform reduction principle for the empirical process of a stationary moving average time series {Xt} with long memory and independent and identically distributed innovations belonging to the domain of attraction of symmetric [alpha]-stable laws, 1

Keywords: Non-random; designs; Unbounded; spectral; density; Uniform; reduction; principle; M-estimators (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (16)

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