Large sample inference for long memory processes

zbMATH Open1279.62016MaRDI QIDQ3399435FDOQ3399435

Authors: L. Giraitis, Hira L. Koul, Donatas Surgailis 

Publication date: 12 October 2009

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Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

• 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
• Limit theorems for conservative flows on multiple stochastic integrals
• Harmonically Weighted Processes
• Limit theorems for long-memory flows on Wiener chaos
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Comparing the marginal densities of two strictly stationary linear processes
• Asymptotic theory for time series with changing mean and variance
• On fixed gain recursive estimators with discontinuity in the parameters
• Long-range dependent curve time series
• Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
• Kernel partial least squares for stationary data
• Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes
• Gaussian linear model selection in a dependent context
• Spectral approach to parameter-free unit root testing
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• Robust estimation for continuous-time linear models with memory
• Moment estimator for an AR(1) model driven by a long memory Gaussian noise
• Empirical process of residuals for regression models with long memory errors
• Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
• Randomized multivariate central limit theorems for ergodic homogeneous random fields
• Long range dependence of heavy-tailed random functions
• Learning can generate long memory
• Minimum distance lack-of-fit tests under long memory errors
• A consistent estimator for skewness of partial sums of dependent data
• Asymptotic normality of quadratic forms of martingale differences
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Weak law of large numbers for linear processes
• A multivariate test against spurious long memory
• Spectral estimation for non-linear long range dependent discrete time trawl processes
• LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
• Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening
• 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

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