Quantile inference for near-integrated autoregressive time series with infinite variance

Statistica Sinica

Volumn 16, Issue 1, 2006, Pages 15-28

  Chan, Ngai Hang ^a   Peng, Liang ^a,b   Qi, Yongcheng ^a,c  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^c UNIVERSITY OF MINNESOTA DULUTH   (United States)

Author keywords

Empirical likelihood method; Infinite variance; Near unit root; Quantile estimate

Indexed keywords

EID: 33646417350     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (25)

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