Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results

DOI10.1111/J.1467-9892.2004.01775.XMaRDI QIDQ4677016zbMATH OpenOpenAlexFDO

Authors Georges Oppenheim, Marie-Claude Viano

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.01775.x

zbMATH Keywords

asymptotic normalityGaussian processweak convergencelong-memory process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3259552 (Why is no real title available?)
• Continuous-time fractional ARMA processes
• Long memory relationships and the aggregation of dynamic models
• Long memory with seasonal effects
• Modelling long-memory time series with finite or infinite variance: a general approach
• Theory of function spaces II

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(24)

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• Joint aggregation of random-coefficient AR(1) processes with common innovations
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• Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
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• Sample covariances of random-coefficient AR(1) panel model
• Fractionally differenced Gegenbauer processes with long memory: a review
• Memory properties and aggregation of spatial autoregressive models
• A Darling-Erdős type result for stationary ellipsoids
• Aggregation of the random coefficient GLARCH(1,1) process
• Modelling cycles in climate series: the fractional sinusoidal waveform process
• Effect of aggregation on estimators in AR(1) sequence
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Aggregation of isotropic autoregressive fields
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• The aggregation of dynamic relationships caused by incomplete information
• Contemporaneous aggregation of linear dynamic models in large economies
• Asymptotic behavior of weakly dependent aggregated processes
• From short to long memory: aggregation and estimation
• Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
• Asymptotic normality of the mixture density estimator in a disaggregation scheme

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