Central limit theorem for the empirical process of a linear sequence with long memory

DOI10.1016/S0378-3758(98)00243-2zbMATH Open0943.60035MaRDI QIDQ1304375FDOQ1304375

Authors: L. Giraitis, Donatas Surgailis 

Publication date: 4 September 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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zbMATH Keywords

empirical processlong-range dependencefunctional central limit theorem

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Continuity and singularity of induced measures (60G30)

Cites Work

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• Asymptotic normality of regression estimators with long memory errors
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Cited In (48)

• Bootstrap long memory processes in the frequency domain
• On robust tail index estimation for linear long-memory processes
• On the empirical process of tempered moving averages
• Kernel density estimation for linear processes
• Central limit theorem for the empirical process of a linear sequence with long memory
• On nonparametric density estimation for multivariate linear long-memory processes
• A note on asymptotic normality of kernel estimation for linear random fields on \(Z^{2}\)
• Asymptotic properties of nonparametric regression for long memory random fields
• Marginal density estimation for linear processes with cyclical long memory
• Title not available (Why is that?)
• Some long-range dependence processes arising from fluctuations of particle systems
• The tail empirical process for long memory stochastic volatility sequences
• Asymptotics for statistical functionals of long-memory sequences
• REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
• Normality testing for a long-memory sequence using the empirical moment generating function
• Comparing the marginal densities of two strictly stationary linear processes
• Asymptotic results for spatial causal ARMA models
• Limit theorems in the context of multivariate long-range dependence
• The central limit theorem for a sequence of random processes with space-varying long memory
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors
• The empirical process for bivariate sequences with long memory
• Testing for the expected number of exceedances in strongly dependent seasonal time series
• ON M‐Estimation Under Long‐Range Dependence in Volatility
• On Koul's minimum distance estimators in the regression models with long memory moving averages.
• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications
• Weighted averages and local polynomial estimation for fractional linear ARCH processes
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
• Randomly fractionally integrated processes
• Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.
• Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics
• A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
• Asymptotic results for long memory LARCH sequences
• Functional limit theorem for moving average processes generated by dependent random vari\-ables
• On estimating the cumulant generating function of linear processes
• Nonparametric deconvolution problem for dependent sequences
• Stable limits of empirical processes of moving averages with infinite variance.
• Stable limits of sums of bounded functions of long memory moving averages with finite variance
• Functional limit theorem for the empirical process of a class of Bernoulli shifts with long memory
• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Title not available (Why is that?)
• On location estimation for LARCH processes
• Central limit theorems for nearly long range dependent subordinated linear processes
• On weighted \(U\)-statistics for stationary processes.
• Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences
• Title not available (Why is that?)
• Asymptotic normality for non-linear functionals of non-causal linear processes with summable weights

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