On the empirical process of tempered moving averages

DOI10.1016/J.SPL.2020.108902MaRDI QIDQ2216974zbMATH OpenOpenAlexFDO

Authors Jan Beran, Farzad Sabzikar, Klaus Telkmann, Donatas Surgailis

Publication date 18 December 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108902

zbMATH Keywords

empirical processlong memorytempered linear processuniform reduction principle

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic normality of regression estimators with long memory errors
• Central limit theorem for the empirical process of a linear sequence with long memory
• Fractional differencing
• Functional central limit theorem for the empirical process of short memory linear processes
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Invariance principles for tempered fractionally integrated processes
• Large sample inference for long memory processes
• Long-memory processes. Probabilistic properties and statistical methods
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Rescaled variance and related tests for long memory in volatility and levels
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Stochastic integration for tempered fractional Brownian motion
• Tempered fractional Brownian and stable motions of second kind
• Tempered fractional Brownian motion
• Tempered fractional stable motion
• The empirical process of a short-range dependent stationary sequence under Gaussian subordination
• The empirical process of some long-range dependent sequences with an application to U-statistics

Cited in

(2)

• Invariance principles for tempered fractionally integrated processes
• On Weighted Tempered Moving Averages Processes

Describes a project that uses

Uses Software

• longmemo

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