2 papers
stat.ME2026
Heavy Tails and Predictive Ability Testing
Jonas F. Frederiksen, Muneya Matsui, Rasmus S. Pedersen
We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss different…
math.PR2025
The Gaussian central limit theorem for a stationary time series with infinite variance
Muneya Matsui, Thomas Mikosch
We consider a borderline case: the central limit theorem for a strictly stationary time series with infinite variance but a Gaussian limit. In the iid case a well-known sufficient…