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

DOI10.1111/j.1467-9892.2004.01775.xzbMath1064.60066OpenAlexW3124294461MaRDI QIDQ4677016

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

weak convergenceasymptotic normalityGaussian processlong-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

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• Theory of function spaces II
• Long memory relationships and the aggregation of dynamic models
• Continuous-time fractional ARMA processes
• Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
• Long memory with seasonal effects

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