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

MaRDI QIDQ3427554zbMATH OpenFDO

Authors Ching-Kang Ing, Ching-Zong Wei

Publication date 20 March 2007

zbMATH Keywords

autoregressive fractionally integrated moving averageconvergence systemlong-range dependencemaximal inequalitymodel selectionstrong consistency

Mathematics Subject Classification ID

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

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(6)

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

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