Covariances estimation for long-memory processes
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Publication:3566396
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- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- scientific article; zbMATH DE number 1911817
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- A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES
- An asymptotic theory for sample covariances of Bernoulli shifts
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Asymptotics for duration-driven long range dependent processes
- Asymptotics for linear processes
- Asymptotics of the sample mean and sample covariance of long-range-dependent series
- Bivariate symmetric statistics of long-range dependent observations
- Convergence of integrated processes of arbitrary Hermite rank
- Convergence of normalized quadratic forms
- Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Limit theorems for functionals of moving averages
- Martingale approximations for sums of stationary processes.
- Multiple Wiener-Ito integrals. With applications to limit theorems
- Noncentral limit theorems and Appell polynomials
- Nonstandard limit theorem for infinite variance functionals
- On linear processes with dependent innovations
- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
- Sample autocovariances of long-memory time series
- Some limit theorems for partial sums of quadratic forms in stationary Gaussian variables
- Stable limits of sums of bounded functions of long memory moving averages with finite variance
- Strong invariance principles for dependent random variables
- The asymptotic distribution of serial covariances
- Time series: theory and methods.
- Zones of attraction of self-similar multiple integrals
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
- Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
- Stochastic analysis of covariance when the error distribution is long-tailed symmetric
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
- Quasi-maximum likelihood estimation of long-memory linear processes
- Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
- Statistical estimation for CAPM with long-memory dependence
- Detecting changes in the second moment structure of high-dimensional sensor-type data in a \(K\)-sample setting
- Intrachromosomal regulation decay in breast cancer
- Central limit theorems for nearly long range dependent subordinated linear processes
- How the instability of ranks under long memory affects large-sample inference
- Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening
- 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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