Conventional Inference under Nonstationary Heavy Tailed Fractional Processes & Arrays

2026-10-20来源 arXiv stat.THEnglish
arXiv:2610.25237v1 Announce Type: new Abstract: Existing regression inference methods for nonstationary heavy tailed data are largely limited to unit roots tests. Functional central limit theorems (FCLTs), which are commonly used for the asymptotic analysis of nonstationary models, are inapplicable to nonstationary data characterized by a memory parameter $d

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