Central limit theorems for arrays of decimated linear processes

DOI10.1016/j.spa.2009.03.009zbMath1173.60311arXiv0805.0779MaRDI QIDQ841489

François Roueff, Murad S. Taqqu

Publication date: 17 September 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0779

zbMATH Keywords

wavelet analysis; semiparametric estimation; spectral analysis; long range dependence

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

62M15: Inference from stochastic processes and spectral analysis

60G18: Self-similar stochastic processes

Related Items

Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory, Locally stationary long memory estimation, Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes, Large scale reduction principle and application to hypothesis testing, Asymptotic normality of wavelet estimators of the memory parameter for linear processes

Cites Work

• Approximations and limit theory for quadratic forms of linear processes
• Estimators of long-memory: Fourier versus wavelets
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• Convergence of random spectral measures and applications to invariance principles.
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