A LARCH(∞) Vector Valued Process

DOI10.1007/0-387-36062-X_11MaRDI QIDQ3416893zbMATH OpenFDO

Authors Paul Doukhan, Gilles Teyssière, Pablo E. Winant

Publication date 9 January 2007

Published in Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-36062-X_11

zbMATH Keywords

\(\text{ARCH}(\infty)\) processes\(\text{LARCH}(\infty)\) processesvector processesVolterra expansionsweak dependence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Prediction theory (aspects of stochastic processes) (60G25)

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Cited in

(10)

• Subsampling weakly dependent time series and application to extremes
• Adaptive density estimation under weak dependence
• Adaptive density estimation for general ARCH models
• A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
• Spectral estimation in the presence of missing data
• Une généralisation au cas vectoriel du procédé \Delta ^2 d’Aitken et les suites à comportement linéaire
• An empirical central limit theorem with applications to copulas under weak dependence
• Weak dependence, models and some applications
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Weakly dependent chains with infinite memory

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