Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate (Q3552858): Difference between revisions

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English	Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate	scientific article

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scholarly article

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title

Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate (English)

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Journal of Time Series Analysis

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publication date

22 April 2010

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full work available at URL

https://arxiv.org/abs/math/0701739

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zbMATH Keywords

weak dependence

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MaRDI profile type

MaRDI publication profile

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cites work

WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS

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Generalized autoregressive conditional heteroscedasticity

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Empirical spectral processes and their applications to time series analysis

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Consistent estimation of the memory parameter for nonlinear time series

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Existence and Convergence of Probability Measures in Banach Spaces

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A new covariance inequality and applications.

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On the functional central limit theorem for stationary processes

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Rates in the empirical central limit theorem for stationary weakly dependent random fields.

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Q4734566

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A new weak dependence condition and applications to moment inequalities

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Q5420975

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Weak dependence for infinite ARCH-type bilinear models

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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WHITTLE ESTIMATION OF ARCH MODELS

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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ARCH-type bilinear models with double long memory.

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Q3911791

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The asymptotic theory of linear time-series models

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Limit theorems for quadratic forms with applications to Whittle's estimate

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Uniform convergence of the empirical spectral distribution function

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Whittle estimation in a heavy-tailed GARCH(1,1) model.

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Weak convergence in \(L^p(0,1)\) of the uniform empirical process under dependence

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

0 references

Gaussian semiparametric estimation of long range dependence

0 references

Modified Whittle estimation of multilateral models on a lattice

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Gaussian and non-Gaussian linear time series and random fields

0 references

Q4695433

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Estimation in conditionally heteroscedatic time series models.

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Gaussian inference on certain long-range dependent volatility models

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Identifiers

zbMATH Open document ID

1198.62087

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DOI

10.1111/j.1467-9892.2008.00588.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3552858

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+W2239403635
@@ Property / OpenAlex ID: W2239403635 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+math/0701739
@@ Property / arXiv ID: math/0701739 / rank @@
+Normal rank
@@ Property / cites work @@
+WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Empirical spectral processes and their applications to time series analysis
+Normal rank
@@ Property / cites work @@
+Consistent estimation of the memory parameter for nonlinear time series
+Normal rank
@@ Property / cites work @@
+Existence and Convergence of Probability Measures in Banach Spaces
+Normal rank
@@ Property / cites work @@
+A new covariance inequality and applications.
@@ Property / cites work: A new covariance inequality and applications. / rank @@
+Normal rank
@@ Property / cites work @@
+On the functional central limit theorem for stationary processes
+Normal rank
@@ Property / cites work @@
+Rates in the empirical central limit theorem for stationary weakly dependent random fields.
+Normal rank
@@ Property / cites work @@
+Q4734566
@@ Property / cites work: Q4734566 / rank @@
+Normal rank
@@ Property / cites work @@
+A new weak dependence condition and applications to moment inequalities
+Normal rank
@@ Property / cites work @@
+Q5420975
@@ Property / cites work: Q5420975 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak dependence for infinite ARCH-type bilinear models
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+WHITTLE ESTIMATION OF ARCH MODELS
@@ Property / cites work: WHITTLE ESTIMATION OF ARCH MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
+Normal rank
@@ Property / cites work @@
+ARCH-type bilinear models with double long memory.
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic theory of linear time-series models
+Normal rank
@@ Property / cites work @@
+Limit theorems for quadratic forms with applications to Whittle's estimate
+Normal rank
@@ Property / cites work @@
+Uniform convergence of the empirical spectral distribution function
+Normal rank
@@ Property / cites work @@
+Whittle estimation in a heavy-tailed GARCH(1,1) model.
+Normal rank
@@ Property / cites work @@
+Weak convergence in \(L^p(0,1)\) of the uniform empirical process under dependence
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Modified Whittle estimation of multilateral models on a lattice
+Normal rank
@@ Property / cites work @@
+Gaussian and non-Gaussian linear time series and random fields
+Normal rank
@@ Property / cites work @@
+Q4695433
@@ Property / cites work: Q4695433 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation in conditionally heteroscedatic time series models.
+Normal rank
@@ Property / cites work @@
+Gaussian inference on certain long-range dependent volatility models
+Normal rank