Limit theorems in the context of multivariate long-range dependence

DOI10.1016/J.SPA.2020.03.011MaRDI QIDQ2196372zbMATHOpenAlexFDO

Authors Marie-Christine Düker

Publication date 2 September 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.08609

zbMATH Keywords

long-range dependencemultivariate time seriesfunctional central limit theoremlinear processessample autocovariancesoperator self-similar processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Abstract: This article considers multivariate linear processes whose components are either short- or long-range dependent. The functional central limit theorems for the sample mean and the sample autocovariances for these processes are investigated, paying special attention to the mixed cases of short- and long-range dependent series. The resulting limit processes can involve multivariate Brownian motion marginals, operator fractional Brownian motions and matrix-valued versions of the so-called Rosenblatt process.

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Cited in

(11)

• Definitions and representations of multivariate long-range dependent time series
• Tangent fields, intrinsic stationarity, and self similarity
• scientific article; zbMATH DE number 1067029 (Why is no real title available?)
• Central limit theorems for long range dependent spatial linear processes
• Limit theorems for aggregated linear processes
• Multivariate limits of multilinear polynomial-form processes with long memory
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• Multidimensional limit theorems in models with categorized-time absolute priorities
• Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes
• Asymptotics for random functions moderated by dependent noise
• Limit theorems in change-point problems with multivariate long-range dependent observations

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Uses Software

• longmemo

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