WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS

DOI10.1017/S0266466604206016zbMath1069.62070MaRDI QIDQ5314881

Paul Doukhan, Patrick Ango Nze

Publication date: 5 September 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

bootstrapgeneralized method of momentsunit root testsfunctional estimationempirical distributionsMarkovian models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (37)

Infinite-order, long-memory heterogeneous autoregressive models ⋮ On convergence to stochastic integrals ⋮ Splines for Financial Volatility ⋮ LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE ⋮ Limit theorems for the discount sums of moving averages ⋮ Consistent GMM Residuals-Based Tests of Functional Form ⋮ Block Bootstrapping for Kernel Density Estimators under ψ-Weak Dependence ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Evaluation for moments of a ratio with application to regression estimation ⋮ Extremal memory of stochastic volatility with an application to tail shape inference ⋮ Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals ⋮ Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes ⋮ Multivariate wavelet estimators for weakly dependent processes: strong consistency rate ⋮ Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence ⋮ Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence ⋮ Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression ⋮ \(M\)-procedures for detection of a change under weak dependence ⋮ Kernel Meets Sieve: Post-Regularization Confidence Bands for Sparse Additive Model ⋮ Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate ⋮ The functional central limit theorem for a family of GARCH observations with applications ⋮ Higher-order properties of approximate estimators ⋮ Subsampling weakly dependent time series and application to extremes ⋮ ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS ⋮ TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS ⋮ Augmented GARCH sequences: Dependence structure and asymptotics ⋮ Correlation bounds, mixing and \(m\)-dependence under random time-varying network distances with an application to Cox-processes ⋮ FACTORISABLE MULTITASK QUANTILE REGRESSION ⋮ Estimation of dynamic models with nonparametric simulated maximum likelihood ⋮ Semiparametric estimation for partially linear models with \(\psi\)-weak dependent errors ⋮ REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS ⋮ Nearest neighbor conditional estimation for Harris recurrent Markov chains ⋮ Break detection in the covariance structure of multivariate time series models ⋮ Efficient estimation of copula-based semiparametric Markov models ⋮ Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models ⋮ Uniform almost sure convergence and asymptotic distribution of the wavelet-based estimators of partial derivatives of multivariate density function under weak dependence ⋮ Data driven smooth test of comparison for dependent sequences ⋮ Kernel estimators of mode under \(\psi\)-weak dependence

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