Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

DOI10.1016/0304-4076(95)01740-2zbMATH Open0854.62084OpenAlexW2059850868MaRDI QIDQ1922366FDOQ1922366

Jonathan R. M. Hosking

Publication date: 19 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01740-2

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zbMATH Keywords

time seriescentral limit theoremfractional differencingRosenblatt distributionsample meannoncentral limit theoremfractional ARIMA processpower law decayautocorrelationsautocovarianceslong-memory processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cited In (73)

• Inference for impulse response coefficients from multivariate fractionally integrated processes
• Spurious multivariate regressions under fractionally integrated processes
• Indirect inference for fractional time series models
• Estimation of slowly time-varying trend function in long memory regression models
• Time-varying correlation for noncentered nonstationary time series: simultaneous inference and visualization
• Heterogeneous expectations and long-range correlation of the volatility of asset returns
• First-order bias correction for fractionally integrated time series
• Minimum distance estimation of \(k\)-factors GARMA processes
• On linear processes with dependent innovations
• Behaviour of skewness, kurtosis and normality tests in long memory data
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Asymptotic normality of the estimators for fractional Brownian motions with discrete data
• Asymptotics of the sample mean and sample covariance of long-range-dependent series
• The Asymptotic Distribution of The Pathwise Mean Squared Displacement in Single Particle Tracking Experiments
• Random central limit theorems for linear processes with weakly dependent innovations
• A new estimator of the fractionally integrated stochastic volatility model
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• A Monte Carlo subsampling method for estimating the distribution of signal-to-noise ratio statistics in nonparametric time series regression models
• An asymptotic theory for sample covariances of Bernoulli shifts
• Sensitivity of the Hermite rank
• On the sample mean of locally stationary long-memory processes
• THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
• Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
• BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes
• From directed polymers in spatial-correlated environment to stochastic heat equations driven by fractional noise in \(1 + 1\) dimensions
• Small-sample Autocorrelation Structure for Long-memory Time Series
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• The bias of lag window estimators of the fractional difference parameter.
• Sample autocovariances of long-memory time series
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• On the asymptotic distribution of sample autocovariance differences of long-memory processes
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Rescaled variance and related tests for long memory in volatility and levels
• Semi-parametric smoothing estimators for long-memory processes with added noise
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• A Generalised Fractional Differencing Bootstrap for Long Memory Processes
• The power of the KPSS-test for cointegration when residuals are fractionally integrated
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• The asymptotic distribution of sample autocorrelations for a class of linear filters
• Comparison of non-parametric and semi-parametric tests in detecting long memory
• Forecasting a long memory process subject to structural breaks
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• On the power of durbin-watson statistic against fractionally integrated processes
• Analysis of the correlation structure of square time series
• Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process
• The effect of round-off error on long memory processes
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes
• A New Test for Short Memory in Long Memory Time Series
• The polynomial aggregated AR(1) model*
• Some convergence results on quadratic forms for random fields and application to empirical covariances
• A moment-based notion of time dependence for functional time series
• On asymptotic distributions of weighted sums of periodograms
• Residual empirical processes for long and short memory time series
• Differentiating intraday seasonalities through wavelet multi-scaling
• An Omnibus Test for Time Series ModelI(d)
• Prediction of long memory processes on same-realisation
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Real-time monitoring test for realized volatility
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Covariances Estimation for Long-Memory Processes
• Minimum distance estimation of ARFIMA processes
• How the instability of ranks under long memory affects large-sample inference
• Scaling limits of directed polymers in spatial-correlated environment
• Asymptotic normality of the mixture density estimator in a disaggregation scheme
• Mean and autocovariance function estimation near the boundary of stationarity
• On Berry-Esseen bounds for non-instantaneous filters of linear processes

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