A maximal moment inequality for long range dependent time series with applications to estimation and model selection

zbMATH Open1107.62093MaRDI QIDQ3427554FDOQ3427554

Authors: Ching-Kang Ing, Ching-Zong Wei 

Publication date: 20 March 2007

Recommendations

• Maximal moment inequality for partial sums of strong mixing sequences and application
• Maximal moment inequality for partial sums of \(\rho\)-mixing sequences and its applications
• Maximal inequalities for some dependent sequences and their applications
• Invariance principles for linear processes with application to isotonic regression
• Maximal Moment Inequalities for Stochastic Processes

zbMATH Keywords

model selectionstrong consistencylong-range dependencemaximal inequalityconvergence systemautoregressive fractionally integrated moving average

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15)

Cited In (6)

• Estimation of inverse autocovariance matrices for long memory processes
• Invariance principles for linear processes with application to isotonic regression
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
• Variable selection for high-dimensional regression models with time series and heteroscedastic errors
• Testing for change points in time series models and limiting theorems for NED sequences
• A maximal moment inequality for \(\alpha \)-mixing sequences and its applications

This page was built for publication: A maximal moment inequality for long range dependent time series with applications to estimation and model selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3427554)