Non-mixing properties of long memory processes

DOI10.1016/S0764-4442(01)02052-3MaRDI QIDQ2748303zbMATH OpenOpenAlexFDO

Authors Dominique Guegan, Sophie Ladoucette

Publication date 14 October 2001

Published in Comptes Rendus de l'Académie des Sciences. Série I. Mathématique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0764-4442(01)02052-3

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(8)

• Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
• Subsampling inference for the mean of heavy-tailed long-memory time series
• Generalised kernel smoothing for non-negative stationary ergodic processes
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Tail and nontail memory with applications to extreme value and robust statistics
• How can we Define the Concept of Long Memory? An Econometric Survey
• Generalized nonparametric asymmetric kernel regression estimator with responses missing for nonnegative stationary and ergodic data
• Regression estimation for continuous-time functional data processes with missing at random response

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