On estimating the cumulant generating function of linear processes
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Cites work
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An iterative bandwidth selector for kernel estimation of densities and their derivatives
- Applications of empirical characteristic functions in some multivariate problems
- Central limit theorem for the empirical process of a linear sequence with long memory
- CLT and other limit theorems for functionals of Gaussian processes
- Convergence rates in density estimation for data from infinite-order moving average processes
- Density estimation under long-range dependence
- Fractional differencing
- scientific article; zbMATH DE number 946663 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Kernel density estimation for linear processes
- Limit behaviour of the empirical characteristic function
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- Nonparametric density estimation for a long-range dependent linear process
- On plug-in rules for local smoothing of density estimators
- Testing for normality in arbitrary dimension
- The empirical characteristic function and its applications
- The empirical process of some long-range dependent sequences with an application to U-statistics
- The studentized empirical characteristic function and its application to test for the shape of distribution
- Time series: theory and methods
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(10)- Normality testing for a long-memory sequence using the empirical moment generating function
- Goodness-of-fit procedures for compound distributions with an application to insurance
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Test of fit for Marshall-Olkin distributions with applications
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- The probability weighted characteristic function and goodness-of-fit testing
- On estimating the marginal distribution of a detrended series with long memory
- A note on using the empirical moment generating function to estimate the variance of nonparametric trend estimates from independent time series replicates
- GENERAL LINEAR PROCESSES:A PROPERTY OF THE EMPIRICAL PROCESS APPLIED TO DENSITY AND MODE ESTIMATION
- Optimal design approach to GMM estimation of parameters based on empirical transforms
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