Estimation pitfalls when the noise is not i.i.d.
From MaRDI portal
Publication:2329837
DOI10.1007/s42081-018-0004-8zbMath1430.62044OpenAlexW2795534683MaRDI QIDQ2329837
Murad S. Taqqu, Masanobu Taniguchi, Liudas Giraitis
Publication date: 18 October 2019
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/39627
Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)
Related Items (2)
Unnamed Item ⋮ A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Approximations and limit theory for quadratic forms of linear processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- A central limit theorem for generalized quadratic forms
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- On the asymptotic distribution of quadratic forms in uniform order statistics
- A central limit theorem for stationary processes and the parameter estimation of linear processes
- Asymptotic normality of quadratic forms of martingale differences
- Gaussian estimation of parametric spectral density with unknown pole
- Gaussian semiparametric estimation of long range dependence
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Estimation and information in stationary time series
- On estimation of the integrals of the fourth order cumulant spectral density
- Some Limit Theorems for Polynomials of Second Degree
- The asymptotic theory of linear time-series models
This page was built for publication: Estimation pitfalls when the noise is not i.i.d.
