The empirical process for bivariate sequences with long memory

DOI10.1007/S11203-004-2790-9zbMath1100.62088OpenAlexW2011551284MaRDI QIDQ2573222

Domenico Marinucci

Publication date: 7 November 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-004-2790-9

zbMATH Keywords

functional central limit theoremempirical processlong range dependencestrictly stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Related Items (5)

On nonparametric density estimation for multivariate linear long-memory processes ⋮ Empirical and sequential empirical copula processes under serial dependence ⋮ Asymptotic results for spatial causal ARMA models ⋮ Quantitative Breuer-Major theorems ⋮ Stable limits of empirical processes of moving averages with infinite variance.

Cites Work

• The empirical process of some long-range dependent sequences with an application to U-statistics
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Central limit theorem for the empirical process of a linear sequence with long memory
• Whittle estimator for finite-variance non-Gaussian time series with long memory
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Weak convergence of the sample distribution function when parameters are estimated
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
• 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
• On the Kaplan-Meier estimator of long-range dependent sequences

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