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math.ST2026
A Second-Order Extension of Hájek's Convolution Theorem with Statistical Applications
Junichi Hirukawa, Masanobu Taniguchi, Marc Hallin
For a class of regular estimators, Hájek, in his celebrated ``Convolution Theorem,'' showed that the asymptotic distribution of a regular estimator is the convolution of the distri…
math.ST2022
Inference for Non-Stationary Heavy Tailed Time Series
Fumiya Akashi, Konstantinos Fokianos, Junichi Hirukawa
We consider the problem of inference for non-stationary time series with heavy-tailed error distribution. Under a time-varying linear process framework we show that there exists a…