Covariances estimation for long-memory processes
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Publication:3566396
DOI10.1239/AAP/1269611147zbMATH Open1190.62166OpenAlexW1967344495MaRDI QIDQ3566396FDOQ3566396
Authors: Wei Biao Wu, Yinxiao Huang, Wei Zheng 
Publication date: 7 June 2010
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1269611147
Recommendations
- Sample autocovariances of long-memory time series
- Asymptotics of the sample mean and sample covariance of long-range-dependent series
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- scientific article; zbMATH DE number 1911817
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
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Cited In (21)
- On the maximum of covariance estimators
- Asymptotics of the sample mean and sample covariance of long-range-dependent series
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- Estimation of inverse autocovariance matrices for long memory processes
- Long-run covariability
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Sample autocovariances of long-memory time series
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- Stochastic analysis of covariance when the error distribution is long-tailed symmetric
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- Long-run covariance matrices for fractionally integrated processes
- On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes
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