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

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)

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(6)

• 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
• Estimation of inverse autocovariance matrices for long memory processes
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
• Invariance principles for linear processes with application to isotonic regression
• A maximal moment inequality for \(\alpha \)-mixing sequences and its applications

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