scientific article

zbMath1279.62016MaRDI QIDQ3399435

Donatas Surgailis, Liudas Giraitis, Hira L. Koul

Publication date: 12 October 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Stationary stochastic processes (60G10) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Inference from stochastic processes (62Mxx)

Related Items

Scaling transition for nonlinear random fields with long-range dependence, Invariance principles for tempered fractionally integrated processes, On nonparametric regression for bivariate circular long-memory time series, Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors, On two sample inference for eigenspaces in functional data analysis with dependent errors, On nonparametric ridge estimation for multivariate long-memory processes, A unified approach to self-normalized block sampling, Limit theorems for conservative flows on multiple stochastic integrals, Fractionally differenced Gegenbauer processes with long memory: a review, Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data, A goodness-of-fit test for marginal distribution of linear random fields with long memory, A nonlinear model for long-memory conditional heteroscedasticity, Some remarks on definitions of memory for stationary random processes and fields, Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts, Statistical inference for stationary linear models with tapered data, Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes, Tempered Hermite process, A multivariate stochastic unit root model with an application to derivative pricing, The central limit theorem for a sequence of random processes with space-varying long memory, Asymptotics of partial sums of linear processes with changing memory parameter, Spectral approach to parameter-free unit root testing, State space modeling of Gegenbauer processes with long memory, Adjusted blockwise empirical likelihood for long memory time series models, A consistent estimator for skewness of partial sums of dependent data, Discriminating between long-range dependence and non-stationarity, Comparing two nonparametric regression curves in the presence of long memory in covariates and errors, An \(M\)-estimator for the long-memory parameter, Convergence rates in the law of large numbers for long-range dependent linear processes, Weak convergence in the near unit root setting, Asymptotics of estimators for nonparametric multivariate regression models with long memory, Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\), Tempered fractional Brownian and stable motions of second kind, Asymptotic normality of quadratic forms of martingale differences, Operator self-similar processes and functional central limit theorems, Discrete-time trawl processes, Joint aggregation of random-coefficient AR(1) processes with common innovations, Properties of spectral covariance for linear processes with infinite variance, Limit theorems in the context of multivariate long-range dependence, Spectral estimation for non-linear long range dependent discrete time trawl processes, Weak law of large numbers for linear processes, Szegő's theorem and its probabilistic descendants, On asymptotic distributions of weighted sums of periodograms, A multivariate test against spurious long memory, Generalized Hermite processes, discrete chaos and limit theorems, Multivariate limits of multilinear polynomial-form processes with long memory, Data-driven semi-parametric detection of multiple changes in long-range dependent processes, On the empirical process of tempered moving averages, Weak dependence and GMM estimation of supOU and mixed moving average processes, On local slope estimation in partial linear models under Gaussian subordination, Nearest neighbors estimation for long memory functional data, Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models, Empirical process of residuals for regression models with long memory errors, Adaptive forecasting in the presence of recent and ongoing structural change, Asymptotic theory for time series with changing mean and variance, Sensitivity of the Hermite rank, Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\), The trace problem for Toeplitz matrices and operators and its impact in probability, Asymptotic theory for regression models with fractional local to unity root errors, How the instability of ranks under long memory affects large-sample inference, Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes, Gaussian linear model selection in a dependent context, A test of the null of integer integration against the alternative of fractional integration, Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis, The universality of homogeneous polynomial forms and critical limits, On optimal investment with processes of long or negative memory, On the robustness to small trends of parameter estimation for continuous-time stationary models with memory, A note on the normalizing sequences for sums of linear processes in the case of negative memory, Lasso with long memory regression errors, A note on moment inequality for quadratic forms, Local linear estimation for regression models with locally stationary long memory errors, Minimum distance lack-of-fit tests under long memory errors, On estimation of mean and covariance functions in repeated time series with long-memory errors, Sample covariances of random-coefficient AR(1) panel model, Convergence of long-memory discrete \(k\)th order Volterra processes, The difference of symmetric quantiles under long range dependence, Regularized estimation in sparse high-dimensional time series models, Comparing the marginal densities of two strictly stationary linear processes, Aggregation of autoregressive random fields and anisotropic long-range dependence, Random discretization of stationary continuous time processes, Inference on stochastic time-varying coefficient models, On the trace approximation problem for truncated Toeplitz operators and matrices, Learning can generate long memory, Limit theorems for long-memory flows on Wiener chaos, Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity, Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain, Anisotropic scaling limits of long-range dependent random fields, Randomized multivariate central limit theorems for ergodic homogeneous random fields, Optimal long-term investment in illiquid markets when prices have negative memory, Parameter estimation for ARTFIMA time series, On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence, Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications, Martingale decomposition and approximations for nonlinearly dependent processes, Lack of fit test for long memory regression models, A note on linear processes with tapered innovations, Estimation pitfalls when the noise is not i.i.d., Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening, Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models, Spectral analysis of multifractional LRD functional time series, Choosing between persistent and stationary volatility, Statistical estimation for stationary models with tapered data, Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages, Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory, Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model, LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS, STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE, On nonparametric density estimation for multivariate linear long-memory processes, Time varying long memory parameter estimation for locally stationary long memory processes, M-periodogram for the analysis of long-range-dependent time series, Convergence rates in the law of large numbers for END linear processes with random coefficients, Projective Stochastic Equations and Nonlinear Long Memory, On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity, Moment estimator for an AR(1) model driven by a long memory Gaussian noise, Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series, Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process, Optimal sampling designs for multidimensional streaming time series with application to power grid sensor data, Harmonically Weighted Processes, Estimating the Mean Direction of Strongly Dependent Circular Time Series, Modeling bivariate long‐range dependence with general phase, QUANTILOGRAMS UNDER STRONG DEPENDENCE, Estimation on unevenly spaced time series, Humbert generalized fractional differenced ARMA processes, Modelling cycles in climate series: the fractional sinusoidal waveform process, Detection of long range dependence in the time domain for (in)finite-variance time series, Wiener integrals with respect to the generalized Hermite process (gHp). Applications: SDEs with ghp noise, Robust estimation for continuous-time linear models with memory, Lamperti-Type Theorems for Random Fields, Long-Range Dependent Curve Time Series, Approximation of the first passage time distribution for the birth–death processes, Long range dependence of heavy-tailed random functions, Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods, A pivot function and its limiting distribution: applications in goodness of fit and testing hypothesis, Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes, On fixed gain recursive estimators with discontinuity in the parameters, Trading Fractional Brownian Motion, A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter, Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process, Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory, The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility, DETECTION OF NONCONSTANT LONG MEMORY PARAMETER, Kernel partial least squares for stationary data, Long range dependence for stable random processes, LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION, LIMIT THEOREMS FOR FACTOR MODELS, Local Whittle estimation of long‐range dependence for functional time series, Testing for the expected number of exceedances in strongly dependent seasonal time series