On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications

DOI10.1016/J.SPL.2015.07.032zbMath1384.60082arXiv1410.8050OpenAlexW1767913266MaRDI QIDQ900567

Emanuele Taufer

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.8050

zbMATH Keywords

Hermite polynomialempirical processgoodness-of-fitlong range dependencestable distributionKolmogorov-Smirnov

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic properties of \(U\)-processes under long-range dependence
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Goodness-of-fit testing under long memory
• Multiple stochastic integrals with dependent integrators
• Central limit theorem for the empirical process of a linear sequence with long memory
• Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• The empirical process of a short-range dependent stationary sequence under Gaussian subordination
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• Normality testing for a long-memory sequence using the empirical moment generating function
• Goodness-of-fit tests for long memory moving average marginal density
• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
• Hermite ranks and \(U\)-statistics
• Wilcoxon-Signed Rank Test for Long Memory Sequences
• Weak convergence to fractional brownian motion and to the rosenblatt process
• A Method for Simulating Stable Random Variables
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Product-limit estimator for long- and short-range dependent sequences under gamma type subordination
• Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
• On the Kaplan-Meier estimator of long-range dependent sequences

This page was built for publication: On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications