Diagnostic checking in linear processes with infinit variance

Research, Preprint OPEN
Krämer, Walter; Runde, Ralf;
  • Publisher: Dortmund: Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
  • Subject:
    • ddc: ddc:310

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 rath... View more
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