Limit theorems for aggregated linear processes
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Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1416392 (Why is no real title available?)
- scientific article; zbMATH DE number 3337280 (Why is no real title available?)
- A Class of Statistics with Asymptotically Normal Distribution
- A new covariance inequality and applications.
- A new maximal inequality and invariance principle for stationary sequences
- Aggregation and memory of models of changing volatility
- Aggregation in ARCH models
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Aggregation of the random coefficient GLARCH(1,1) process
- Asymptotic behavior of weakly dependent aggregated processes
- Asymptotic normality of the mixture density estimator in a disaggregation scheme
- CLT and other limit theorems for functionals of Gaussian processes
- Central limit theorem for stationary linear processes
- Central limit theorems for additive functionals of Markov chains.
- Central limit theorems for superlinear processes
- Contemporaneous aggregation of GARCH processes
- Contemporaneous aggregation of linear dynamic models in large economies
- Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
- Convergence of integrated processes of arbitrary Hermite rank
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
- Disaggregation of long memory processes on \(\mathcal C^\infty\) class
- Distributional limit theorems over a stationary Gaussian sequence of random vectors.
- Dynamic models of long-memory processes driven by Lévy noise
- Effect of aggregation on estimators in AR(1) sequence
- From short to long memory: aggregation and estimation
- Hausdorff dimension of random fractals with overlaps
- Invariance principle for stochastic processes with short memory
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Linear Regression Limit Theory for Nonstationary Panel Data
- Long memory relationships and the aggregation of dynamic models
- Martingale approximations for sums of stationary processes.
- Modeling volatility persistence of speculative returns: a new approach
- Non-central limit theorems for non-linear functional of Gaussian fields
- Nonlinear system theory: Another look at dependence
- On the functional central limit theorem for stationary processes
- Orthogonal series density estimation in a disaggregation scheme
- Periodically Correlated Random Sequences
- Recent advances in invariance principles for stationary sequences
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Speeds of convergence for the multidimensional central limit theorem
- Stability of random coefficient ARCH models and aggregation schemes
- Strong invariance principles for dependent random variables
- Superposition of Ornstein-Uhlenbeck type processes
- The polynomial aggregated AR(1) model*
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(15)- On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
- Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes
- An aggregated model for Karlin stable processes
- On aggregation of multitype Galton-Watson branching processes with immigration
- Multivariate limits of multilinear polynomial-form processes with long memory
- Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
- Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
- A Darling-Erdős type result for stationary ellipsoids
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
- On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
- Asymptotic behavior of weakly dependent aggregated processes
- Linear aggregation of vector autoregressive moving average processes
- scientific article; zbMATH DE number 4121134 (Why is no real title available?)
- Central limit theorems for nearly long range dependent subordinated linear processes
- Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations
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