Asymptotics of partial sums of linear processes with changing memory parameter

DOI10.1007/S10986-013-9203-YzbMATH Open1278.60065OpenAlexW2003888735MaRDI QIDQ2393664FDOQ2393664

Authors: Remigijus Leipus, Donatas Surgailis 

Publication date: 8 August 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-013-9203-y

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zbMATH Keywords

linear processpartial-sum limitstime-varying memorytype II fractional Brownian motion

Mathematics Subject Classification ID

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

Cites Work

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Cited In (9)

• A note on the normalizing sequences for sums of linear processes in the case of negative memory
• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
• Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory
• Simultaneous quantile inference for non-stationary long-memory time series
• Randomly fractionally integrated processes
• A note on linear processes with tapered innovations
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Asymptotic independence of distant partial sums of linear processes
• Asymptotic properties of self-normalized linear processes with long memory

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