Distant long-range dependent sums and regression estimation

DOI10.1016/0304-4149(95)00032-3zbMath0836.60002OpenAlexW2021968986MaRDI QIDQ1904540

Jan Mielniczuk, Sándor Csörgö

Publication date: 22 April 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00032-3

zbMATH Keywords

long-range dependenceasymptotic independencedelayed sumsnon-parametric regressionjoint weak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10)

Related Items (11)

Asymptotic inference results for multivariate long‐memory processes ⋮ Nonparametric regression with heteroscedastic long memory errors ⋮ Nonparametric regression with long-memory errors ⋮ Weak convergence of multivariate fractional processes ⋮ A general asymptotic scheme for inference under order restrictions ⋮ Asymptotic theory for regression models with fractional local to unity root errors ⋮ Gaussian linear model selection in a dependent context ⋮ The increment ratio statistic ⋮ Randomized Fixed Design Regression under Long-Range-Dependent Errors ⋮ The smoothing dichotomy in nonparametric regression under long‐memory errors ⋮ Alternative forms of fractional Brownian motion

Cites Work

• Nonparametric regression with long-range dependence
• Extremes and related properties of random sequences and processes
• Noncentral limit theorems for quadratic forms in random variables having long-range dependence
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Nonparametric regression under long-range dependent normal errors
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
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