Stable limits of sums of bounded functions of long memory moving averages with finite variance

DOI10.3150/BJ/1082380222zbMATH Open1076.62017OpenAlexW2055360970MaRDI QIDQ1769779FDOQ1769779

Authors: Donatas Surgailis 

Publication date: 30 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1082380222

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zbMATH Keywords

long memoryfractional derivative[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=stable+L%EF%BF%BD%EF%BF%BDvy+process&go=Go stable L��vy process]Hermite processmoving-average processpartial sums processAppell rank

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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Cited In (24)

• On robust tail index estimation for linear long-memory processes
• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• Discrete-time trawl processes
• Limit theorems for functionals of long memory linear processes with infinite variance
• Scaling transition for nonlinear random fields with long-range dependence
• Sample covariances of random-coefficient AR(1) panel model
• Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
• Function-indexed empirical processes based on an infinite source Poisson transmission stream
• Nonparametric density estimation for linear processes with infinite variance
• Some remarks on definitions of memory for stationary random processes and fields
• Covariances estimation for long-memory processes
• Intermittency and multiscaling in limit theorems
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Stable limits for sums of dependent infinite variance random variables
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• Anisotropic scaling limits of long-range dependent random fields
• On the effect of long-range dependence on extreme value copula estimation with fixed marginals
• Randomly fractionally integrated processes
• Nonstandard limit theorem for infinite variance functionals
• Stable limits of empirical processes of moving averages with infinite variance.
• On limit theory for functionals of stationary increments Lévy driven moving averages
• Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences
• On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes
• Central limit theorems for partial sums of bounded functionals of infinite-variance moving averages

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