Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555310 | Journal of Econometrics | 2005 | 29 Pages |
Abstract
The paper discusses long-memory properties and large sample behavior of partial sums in a general renewal regime switching scheme. The linear model Xt=μt+atXt-1+ÏtÉt with renewal switching in levels, slope or volatility and general (possibly heavy-tailed) i.i.d. noise Ét is discussed in detail. Conditions on the tail behavior of interrenewal distribution and the tail index αâ(0,2] of Ét are obtained, in order that the partial sums process of Xt is asymptotically λ-stable with index λ<α.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Remigijus Leipus, Vygantas Paulauskas, Donatas Surgailis,