Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series (Q5397967): Difference between revisions

Latest revision as of 09:09, 7 July 2024

scientific article; zbMATH DE number 6261466

Language	Label	Description	Also known as
English	Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series	scientific article; zbMATH DE number 6261466

Statements

instance of

scholarly article

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title

Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series (English)

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Journal of Time Series Analysis

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publication date

25 February 2014

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zbMATH Keywords

linear time series

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parameter-dependent convergence rates

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self-normalization

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subsampling confidence intervals

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2012.00808.x

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cites work

Dependent Lindeberg central limit theorem and some applications

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Q3534831

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The detection and estimation of long memory in stochastic volatility

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Time series: theory and methods.

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Limit theory for moving averages of random variables with regularly varying tail probabilities

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Limit theory for the sample covariance and correlation functions of moving averages

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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

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A new weak dependence condition and applications to moment inequalities

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On Joint Fourier–Laplace Transforms

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Adaptive choice of bootstrap sample sizes

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Sample autocovariances of long-memory time series

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Subsampling inference for the mean of heavy-tailed long-memory time series

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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The tail empirical process for long memory stochastic volatility sequences

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Weak convergence of multivariate fractional processes

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Q5434018

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Distribution theory for the Studentized mean for long, short, and negative memory time series

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FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY

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BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION

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Q4301585

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Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes

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Q3662382

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Identifiers

zbMATH Open document ID

1281.62201

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DOI

10.1111/j.1467-9892.2012.00808.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5397967

@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9892.2012.00808.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1898461136
@@ Property / OpenAlex ID: W1898461136 / rank @@
+Normal rank
@@ Property / cites work @@
+Dependent Lindeberg central limit theorem and some applications
+Normal rank
@@ Property / cites work @@
+Q3534831
@@ Property / cites work: Q3534831 / rank @@
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for moving averages of random variables with regularly varying tail probabilities
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample covariance and correlation functions of moving averages
+Normal rank
@@ Property / cites work @@
+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
+Normal rank
@@ Property / cites work @@
+A new weak dependence condition and applications to moment inequalities
+Normal rank
@@ Property / cites work @@
+On Joint Fourier–Laplace Transforms
@@ Property / cites work: On Joint Fourier–Laplace Transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive choice of bootstrap sample sizes
@@ Property / cites work: Adaptive choice of bootstrap sample sizes / rank @@
+Normal rank
@@ Property / cites work @@
+Sample autocovariances of long-memory time series
@@ Property / cites work: Sample autocovariances of long-memory time series / rank @@
+Normal rank
@@ Property / cites work @@
+Subsampling inference for the mean of heavy-tailed long-memory time series
+Normal rank
@@ Property / cites work @@
+A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
+Normal rank
@@ Property / cites work @@
+The tail empirical process for long memory stochastic volatility sequences
+Normal rank
@@ Property / cites work @@
+Weak convergence of multivariate fractional processes
+Normal rank
@@ Property / cites work @@
+Q5434018
@@ Property / cites work: Q5434018 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution theory for the Studentized mean for long, short, and negative memory time series
+Normal rank
@@ Property / cites work @@
+FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
+Normal rank
@@ Property / cites work @@
+BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
@@ Property / cites work: BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
+Normal rank
@@ Property / cites work @@
+Q3662382
@@ Property / cites work: Q3662382 / rank @@
+Normal rank