STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES

DOI10.1111/JTSA.12056MaRDI QIDQ2933196zbMATH OpenOpenAlexFDO

Authors Violetta Dalla, L. Giraitis, Hira L. Koul

Publication date 10 December 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12056

zbMATH Keywords

long memoryweighted sumlinear processshort memory

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• Bootstrap confidence intervals in nonparametric regression with built-in bias correction
• Central limit theorems for quadratic forms with time-domain conditions
• Inference for modulated stationary processes
• Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
• Large-sample inference for nonparametric regression with dependent errors
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Nonparametric regression with heteroscedastic long memory errors
• On bootstrap confidence intervals in nonparametric regression
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Self-normalized large deviations
• Two estimators of the long-run variance: beyond short memory

Cited in

(2)

• GLS estimation and confidence sets for the date of a single break in models with trends
• Asymptotic normality of quadratic forms of martingale differences

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