The empirical process for bivariate sequences with long memory
From MaRDI portal
Publication:2573222
DOI10.1007/s11203-004-2790-9zbMath1100.62088MaRDI QIDQ2573222
Publication date: 7 November 2005
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-004-2790-9
functional central limit theorem; empirical process; long range dependence; strictly stationary process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
60F17: Functional limit theorems; invariance principles
Related Items
On nonparametric density estimation for multivariate linear long-memory processes, Empirical and sequential empirical copula processes under serial dependence, Quantitative Breuer-Major theorems, Stable limits of empirical processes of moving averages with infinite variance., Asymptotic results for spatial causal ARMA models
Cites Work
- The empirical process of some long-range dependent sequences with an application to U-statistics
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Central limit theorem for the empirical process of a linear sequence with long memory
- Whittle estimator for finite-variance non-Gaussian time series with long memory
- On the asymptotic expansion of the empirical process of long-memory moving averages
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Weak convergence of the sample distribution function when parameters are estimated
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Convergence of integrated processes of arbitrary Hermite rank
- Non-central limit theorems for non-linear functional of Gaussian fields
- On the Kaplan-Meier estimator of long-range dependent sequences