Martingale decomposition and approximations for nonlinearly dependent processes
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Publication:2322644
DOI10.1016/j.spl.2019.04.012zbMath1459.60090OpenAlexW2943562736MaRDI QIDQ2322644
Publication date: 5 September 2019
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2019.04.012
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Uses Software
Cites Work
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotics for linear processes
- Strong invariance principles for dependent random variables
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Time Series Regression with a Unit Root
- Nonlinear system theory: Another look at dependence
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