Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series

DOI10.1111/J.1467-9892.2008.00576.XMaRDI QIDQ3552843zbMATH OpenOpenAlexFDO

Authors Mohamed Boutahar

Publication date 22 April 2010

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00576.x

zbMATH Keywords

autoregressive processesBrownian motioncyclesfunctional central limit theoremsleast squares estimateslong memory

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
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• CLT and other limit theorems for functionals of Gaussian processes
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
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• Noncentral limit theorems and Appell polynomials
• The Invariance Principle for Stationary Processes
• Time series models in non-normal situation: symmetric innovations
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Zones of attraction of self-similar multiple integrals

Cited in

(5)

• General autoregressive models with long-memory noise
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• scientific article; zbMATH DE number 6719826 (Why is no real title available?)
• Inducing normality from non-Gaussian long memory time series and its application to stock return data
• Testing for change in mean of independent multivariate observations with time varying covariance

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