Consider a near-integrated time series driven by a heavy-tailed and long-memory noise , where {[eta]j} is a sequence of i.i.d random variables belonging to the domain of attraction of a stable law with index [alpha]. The limit distribution of the quantile estimate and the semi-parametric...

A unified asymptotic theory for nearly unstable higher order autoregressive processes and their least squares estimates is established. A novel version of Jordan’s canonical decomposition with perturbations together with a suitable plug-in principle is proposed to develop the underlying...