Large sample inference for long memory processes
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Publication:3399435
zbMATH Open1279.62016MaRDI QIDQ3399435FDOQ3399435
Authors: L. Giraitis, Hira L. Koul, Donatas Surgailis 
Publication date: 12 October 2009
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Cited In (only showing first 100 items - show all)
- Asymptotic theory of statistical inference for time series
- Joint aggregation of random-coefficient AR(1) processes with common innovations
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Operator self-similar processes and functional central limit theorems
- A note on the normalizing sequences for sums of linear processes in the case of negative memory
- Local linear estimation for regression models with locally stationary long memory errors
- Discrete-time trawl processes
- Parameter estimation for ARTFIMA time series
- On nonparametric ridge estimation for multivariate long-memory processes
- Projective Stochastic Equations and Nonlinear Long Memory
- On nonparametric density estimation for multivariate linear long-memory processes
- On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence
- Convergence of long-memory discrete \(k\)th order Volterra processes
- 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
- Sensitivity of the Hermite rank
- Long memory random fields
- Long memory processes and fractional integration in econometrics
- Inference on stochastic time-varying coefficient models
- Long-memory processes. Probabilistic properties and statistical methods
- Multivariate limits of multilinear polynomial-form processes with long memory
- A unified approach to self-normalized block sampling
- Approximation of the first passage time distribution for the birth-death processes
- Time varying long memory parameter estimation for locally stationary long memory processes
- A multivariate stochastic unit root model with an application to derivative pricing
- Adaptive forecasting in the presence of recent and ongoing structural change
- \(M\)-periodogram for the analysis of long-range-dependent time series
- Large sample inference for conditional exponential families with applications to nonlinear time series
- On the trace approximation problem for truncated Toeplitz operators and matrices
- Limit theorems in the context of multivariate long-range dependence
- Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
- The central limit theorem for a sequence of random processes with space-varying long memory
- A note on moment inequality for quadratic forms
- A nonlinear model for long-memory conditional heteroscedasticity
- Some remarks on definitions of memory for stationary random processes and fields
- Properties of spectral covariance for linear processes with infinite variance
- On local slope estimation in partial linear models under Gaussian subordination
- Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models
- On optimal investment with processes of long or negative memory
- Title not available (Why is that?)
- On estimation of mean and covariance functions in repeated time series with long-memory errors
- Regularized estimation in sparse high-dimensional time series models
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Aggregation of autoregressive random fields and anisotropic long-range dependence
- Tempered fractional Brownian and stable motions of second kind
- Optimal long-term investment in illiquid markets when prices have negative memory
- Humbert generalized fractional differenced ARMA processes
- Tempered Hermite process
- Anisotropic scaling limits of long-range dependent random fields
- The trace problem for Toeplitz matrices and operators and its impact in probability
- A note on linear processes with tapered innovations
- Lack of fit test for long memory regression models
- On asymptotic distributions of weighted sums of periodograms
- Lamperti-type theorems for random fields
- DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
- Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes
- A test of the null of integer integration against the alternative of fractional integration
- Generalized Hermite processes, discrete chaos and limit theorems
- The universality of homogeneous polynomial forms and critical limits
- On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
- Adjusted blockwise empirical likelihood for long memory time series models
- Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
- Invariance principles for tempered fractionally integrated processes
- Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
- Szegő's theorem and its probabilistic descendants
- Discriminating between long-range dependence and non-stationarity
- Smooth estimation of error distribution in nonparametric regression under long memory
- How the instability of ranks under long memory affects large-sample inference
- Weak convergence in the near unit root setting
- Long range dependence for stable random processes
- Random discretization of stationary continuous time processes
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis
- Weak dependence and GMM estimation of supOU and mixed moving average processes
- On the empirical process of tempered moving averages
- Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
- Asymptotics of partial sums of linear processes with changing memory parameter
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- Spectral analysis of multifractional LRD functional time series
- Choosing between persistent and stationary volatility
- Empirical likelihood for a long range dependent process subordinated to a Gaussian process
- Nearest neighbors estimation for long memory functional data
- Scaling transition for nonlinear random fields with long-range dependence
- Lasso with long memory regression errors
- Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
- Title not available (Why is that?)
- Statistical estimation for stationary models with tapered data
- Time series analysis with long memory in view
- Asymptotic theory for regression models with fractional local to unity root errors
- Estimating the mean direction of strongly dependent circular time series
- Statistical inference for stationary linear models with tapered data
- Sample covariances of random-coefficient AR(1) panel model
- On nonparametric regression for bivariate circular long-memory time series
- An \(M\)-estimator for the long-memory parameter
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Fractionally differenced Gegenbauer processes with long memory: a review
- State space modeling of Gegenbauer processes with long memory
- The difference of symmetric quantiles under long range dependence
- Trading fractional Brownian motion
- Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
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