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经济学中一类线性过程模型的经验分布渐近性质AI 解读

Let … be a moving average process of infinite order where the innovations ε( k ) are in the domain of attraction of a stable law with index α ε (0, 2) and the parameter sequence decreases at a polynomial or exponential rate. These and similar processes have recently received increased attention both in the econometrics and statistics/probability literature. The present paper studies almost sure uniform rates of convergence of the empirical distribution function. Applications…

广类平稳、可能具有无限方差的线性过程经验分位数的 Bahadur 型表示AI 解读

Bahadur has obtained an asymptotic almost sure representation for empirical quantiles of independent and identically distributed random variables. In this paper we present an analogous result for a large class of stationary linear processes.