

























We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $α$-stable $(1< α\le 2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $λ\sim λ_*/N$. We show that the limit of the partial sums process takes a different form in the weakly tempered ($λ_* = 0$), strongly tempered ($λ_* = \infty$), and moderately tempered ($0<λ_* < \infty$) cases. These results are used to derive the limit distribution of the OLS estimate of AR(1) unit root with weakly, strongly, and moderately tempered moving average errors.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。