Projective Stochastic Equations and Nonlinear Long Memory

DOI10.1239/AAP/1418396244MaRDI QIDQ2939267zbMATH OpenOpenAlexFDO

Authors Ieva Grublytė, Donatas Surgailis

Publication date 19 January 2015

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1938, https://projecteuclid.org/euclid.aap/1418396244

zbMATH Keywords

Bernoulli shiftinvariance principleLARCH modellong memoryprojective stochastic equation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: A projective moving average $X_t,tinmathbbZ$ is a Bernoulli shift written as a backward martingale transform of the innovation sequence. We introduce a new class of nonlinear stochastic equations for projective moving averages, termed projective equations, involving a (nonlinear) kernel $Q$ and a linear combination of projections of $X_t$ on "intermediate" lagged innovation subspaces with given coefficients $$. The class of such equations include usual moving-average processes and the Volterra series of the LARCH model. Solvability of projective equations is studied, including a nested Volterra series representation of the solution $X_t$. We show that under natural conditions on $$, this solution exhibits covariance and distributional long memory, with fractional Brownian motion as the limit of the corresponding partial sums process.

Recommendations

• Long memory in a linear stochastic Volterra differential equation
• Remarks on determining projections for stochastic dissipative equations
• Nonlinear stochastic differential equations in infinite dimensions
• scientific article; zbMATH DE number 205761
• Stochastic equations on projective systems of groups
• Projection methods for stochastic differential equations with conserved quantities
• scientific article; zbMATH DE number 1872811
• scientific article; zbMATH DE number 29663
• scientific article; zbMATH DE number 432954

Cites work

• A model for long memory conditional heteroscedasticity.
• ARCH(∞) Models and Long Memory Properties
• ARCH-type bilinear models with double long memory.
• Asymptotic results for long memory LARCH sequences
• Best constants in martingale version of Rosenthal's inequality
• Convergence of integrated processes of arbitrary Hermite rank
• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Invariance principle for a class of non stationary processes with long memory
• Invariance principles for fractionally integrated nonlinear processes
• Large sample inference for long memory processes
• Limit theorems for functionals of moving averages
• Nonlinear models for strongly dependent processes with financial applications
• Nonlinear system theory: Another look at dependence
• On linear processes with dependent innovations
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• The conditional central limit theorem in Hilbert spaces.
• The Invariance Principle for Stationary Processes
• The memory of stochastic volatility models
• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory

Cited in

(1)

• A nonlinear model for long-memory conditional heteroscedasticity

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Projective Stochastic Equations and Nonlinear Long Memory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2939267)