SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
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- Spurious correlation under fractional integration in output series
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
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- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
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- Limit theorems in the context of multivariate long-range dependence
- Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
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- On the memory of products of long range dependent time series
- Semiparametric sieve-type generalized least squares inference
- 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
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