Gaussian approximation to the partial sum processes of moving averages

MaRDI QIDQ5476756zbMATH OpenFDO

Authors N. S. Arkashov, Igor S. Borisov

Publication date 18 July 2006

Full work available at URL https://eudml.org/doc/52620, http://www.emis.de/journals/SMZ/2004/06/1221.htm

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zbMATH Keywords

fractional Brownian motionHurst parameterinvariance principepartial sums of moving averagesstationary process

Mathematics Subject Classification ID

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

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Cited in

(12)

• The principle of invariance in the Strassen form to the partial sum processes of moving averages of finite order
• Formation of a relation of nonlocalities in the anomalous diffusion model
• On the model of random walk with multiple memory structure
• On a method for the probability and statistical analysis of the density of low frequency turbulent plasma
• The principle of invariance in the Donsker form to the partial sum processes of finite order moving averages
• Asymptotic independence of distant partial sums of linear processes
• Gaussian approximations for non-stationary multiple time series
• A new sufficient condition in the invariance principle for the partial sum processes of moving averages
• Moving averages for Gaussian simulation in two and three dimensions
• On heterogeneous diffusion processes and the formation of spatial-temporal nonlocality
• Moment inequalities for the sum of weighted independent identically distributed random variables
• Strong approximation for moving average processes under dependence assumptions

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