Asymptotics of partial sums of linear processes with changing memory parameter

DOI10.1007/S10986-013-9203-YMaRDI QIDQ2393664zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• scientific article; zbMATH DE number 3907471
• Asymptotic properties of self-normalized linear processes with long memory
• Asymptotics for statistical functionals of long-memory sequences
• Memory properties of transformations of linear processes
• Asymptotic behaviors for partial sum processes of a Gaussian sequence
• Asymptotics for linear processes
• Uniform asymptotic normality of weighted sums of short-memory linear processes
• Asymptotic independence of distant partial sums of linear processes
• Publication:4729114

Cites work

• scientific article; zbMATH DE number 1944308 (Why is no real title available?)
• scientific article; zbMATH DE number 1944037 (Why is no real title available?)
• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A smooth transition long-memory model
• A strong invariance theorem for the tail empirical process
• Alternative forms of fractional Brownian motion
• Asymptotic independence of distant partial sums of linear processes
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Estimating a change point in the long memory parameter
• Invariance principle for a class of non stationary processes with long memory
• Large sample inference for long memory processes
• Limit theorems for quadratic forms with applications to Whittle's estimate
• On the sample mean of locally stationary long-memory processes
• Randomly fractionally integrated processes
• Regression estimation with locally stationary long-memory errors
• Stochastic-Process Limits
• Testing for a break in persistence under long-range dependencies
• Testing for a change of the long-memory parameter
• The Invariance Principle for Stationary Processes
• The tail empirical process for long memory stochastic volatility sequences
• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
• Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory
• Type I and type II fractional Brownian motions: a reconsideration

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
• A note on linear processes with tapered innovations
• Randomly fractionally integrated processes
• 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

This page was built for publication: Asymptotics of partial sums of linear processes with changing memory parameter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2393664)