Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence

DOI10.1111/J.1467-842X.2004.00329.XzbMATH Open1080.60034OpenAlexW2017056244MaRDI QIDQ4669474FDOQ4669474

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

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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)

Cited In (21)

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

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