Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77139 
Year of Publication: 
1998
Series/Report no.: 
Technical Report No. 1998,08
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than true innovations are employed.
Document Type: 
Working Paper

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