Definitions and representations of multivariate long-range dependent time series
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long-range dependencemultivariate time seriesFARIMAtime and spectral domainsphase parameterlinear and causal representationstrigonometric power-law coefficients
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16)
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 1937241 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
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Cited in
(21)- Small values and functional laws of the iterated logarithm for operator fractional Brownian motion
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- On nonparametric ridge estimation for multivariate long-memory processes
- On nonparametric density estimation for multivariate linear long-memory processes
- Limit theory for martingale transforms with heavy-tailed noise
- Tangent fields, intrinsic stationarity, and self similarity
- Domain and range symmetries of operator fractional Brownian fields
- Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators
- Efficient tapered local Whittle estimation of multivariate fractional processes
- The moduli of continuity for operator fractional Brownian motion
- Cyclical long memory: decoupling, modulation, and modeling
- Exponents of operator self-similar random fields
- Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
- Limit theorems in the context of multivariate long-range dependence
- Multivariate wavelet Whittle estimation in long-range dependence
- Modeling bivariate long-range dependence with general phase
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Ordinal pattern-based change point detection
- Multivariate Hadamard self-similarity: testing fractal connectivity
- A multivariate test against spurious long memory
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
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