✦ LIBER ✦

Diagnostic checking in linear processes with infinite variance

✍ Scribed by W. Krämer; R. Runde

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 542 KB
Volume: 34
Category: Article
ISSN: 0895-7177
DOI: 10.1016/s0895-7177(01)00120-0

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✦ Synopsis

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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