SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES

DOI10.1017/S0266466602181047zbMATH Open1181.62128OpenAlexW2167344614MaRDI QIDQ4807282FDOQ4807282

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466602181047

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Cited In (34)

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On nonparametric ridge estimation for multivariate long-memory processes
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
Convergence in law to operator fractional Brownian motion of Riemann-Liouville type
On nonparametric density estimation for multivariate linear long-memory processes
Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
Spurious correlation under fractional integration in output series
A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
The moduli of continuity for operator fractional Brownian motion
Sample autocovariances of long-memory time series
On the asymptotic distribution of sample autocovariance differences of long-memory processes
The asymptotic behavior of quadratic forms in \(\varphi\)-mixing random variables
The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
Convergence in law to operator fractional Brownian motions
Sampled autocovariance and autocorrelation results for linear time processes
Limit theorems in the context of multivariate long-range dependence
Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
Covariances estimation for long-memory processes
Semiparametric sieve-type generalized least squares inference
On the memory of products of long range dependent time series
A two-sample test for comparison of long memory parameters
Operator fractional Brownian motion and martingale differences
Principal component analysis with autocorrelated data
Covariance function of vector self-similar processes
Limit theorems for functionals of Gaussian vectors
Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
Asymptotic inference results for multivariate long‐memory processes
Integral representations and properties of operator fractional Brownian motions

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