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

DOI10.1111/J.1467-9892.2004.01775.XzbMATH Open1064.60066OpenAlexW3124294461MaRDI QIDQ4677016FDOQ4677016

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

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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)

Cites Work

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• Theory of function spaces II
• Long memory relationships and the aggregation of dynamic models
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• Modelling long-memory time series with finite or infinite variance: a general approach
• Continuous-time fractional ARMA processes
• Long memory with seasonal effects

Cited In (24)

• Joint aggregation of random-coefficient AR(1) processes with common innovations
• Limit theorems for aggregated linear processes
• Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
• Estimating long memory in panel random-coefficient AR(1) data
• 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
• Modelling cycles in climate series: the fractional sinusoidal waveform process
• Aggregation of the random coefficient GLARCH(1,1) process
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• Effect of aggregation on estimators in AR(1) sequence
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• Aggregation of isotropic autoregressive fields
• 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
• Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
• From short to long memory: aggregation and estimation
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
• Asymptotic normality of the mixture density estimator in a disaggregation scheme
• Orthogonal series density estimation in a disaggregation scheme

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