Time series: theory and methods
Time series: theory and methods
Testing for independence in heavy-tailed time series using the codifference function
Computational Statistics & Data Analysis
| Hi-index | 0.98 |
We consider empirical autocorrelations of residuals from finite variance autoregressive processes. Unike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than the true innovations are employed.