Weighted composite quantile inference for nearly nonstationary autoregressive models
Author:
Funder
National Social Science Fund of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10260-024-00763-z.pdf
Reference28 articles.
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2. Aue A, Horváth L (2007) A limit theorem for mildly explosive autoregression with stable errors. Economet Theor 23(2):201–220. https://doi.org/10.1017/s0266466607070090
3. Cheng F (2004) Weak and strong uniform consistency of a kernel error density estimator in nonparametric regression. J Stat Plan Inference 119(1):95–107. https://doi.org/10.1016/s0378-3758(02)00417-2
4. Csörgő M, Szyszkowicz B, Wang Q (2003) Donsker’s theorem for self-normalized partial sums processes. Ann Probab 31(3):1228–1240. https://doi.org/10.1214/aop/1055425777
5. Giné E, Götze F, Mason DM (1997) When is the student $$t$$-statistic asymptotically standard normal? Ann Probab 25(3):1514–1531. https://doi.org/10.1214/aop/1024404523
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