Delta method for long-range dependent observations

DOI10.1080/10485259508832635MaRDI QIDQ4345887zbMATH OpenOpenAlexFDO

Authors Jan Mielniczuk, Ola G. Hössjer

Publication date 13 November 1997

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485259508832635

zbMATH Keywords

asymptotic law of \(L\)-estimatescompactly differentiable statistical functionaldelta methodempirical distributionGaussian modellong-range dependencenormal location modelnormal observationsTaylor expansion

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

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Cites work

• Asymptotic distribution theory of statistical functionals: The compact derivative approach for robust estimators
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Robust asymptotic statistics
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(3)

• Application of the delta method to functions of the sample mean when observations are dependent
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• The delta-method for actuarial statistics

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