Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence

DOI10.1111/J.1467-842X.2004.00329.XMaRDI QIDQ4669474zbMATH OpenOpenAlexFDO

Authors Vo V. Anh, V. Knopova, Nikolai N. Leonenko

Publication date 15 April 2005

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-842x.2004.00329.x

zbMATH Keywords

second order stationary processGegenbauer process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) General second-order stochastic processes (60G12)

Recommendations

• Long-memory continuous-time correlation models
• Random sampling of long-memory stationary processes
• scientific article; zbMATH DE number 97775
• Long memory with seasonal effects
• Random discretization of stationary continuous time processes

Cited in

(21)

• Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum
• Asymptotic properties of \(M\)-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular
• Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence
• Random sampling of long-memory stationary processes
• Limit theorems for aggregated linear processes
• Semiparametric analysis of long-range dependence in nonlinear regression
• Asymptotic behavior of weakly dependent aggregated processes
• Asymptotic behavior of functionals of cyclic long-range dependent random fields
• Spectral projections correlation structure for short-to-long range dependent processes
• Linnik processes
• Limit theorems for weighted functionals of cyclical long-range dependent random fields
• Asymptotic optimal designs under long-range dependence error structure
• On the asymptotic distribution of the Koenker-Bassett estimator for a parameter of the nonlinear model of regression with strongly dependent noise
• Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations
• A short note on the dependence structure of a stochastic process generated by the asymmetric cusp map
• Orthogonal series density estimation in a disaggregation scheme
• Humbert generalized fractional differenced ARMA processes
• Modelling long-run trends and cycles in financial time series data
• Long-memory continuous-time correlation models
• Student processes
• Estimation of harmonic component in regression with cyclically dependent errors

This page was built for publication: Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4669474)