Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series
From MaRDI portal
Publication:5237533
DOI10.1111/jtsa.12472zbMath1435.62344OpenAlexW2944748377WikidataQ127919796 ScholiaQ127919796MaRDI QIDQ5237533
No author found.
Publication date: 18 October 2019
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12472
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- A unified approach to self-normalized block sampling
- Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
- A functional central limit theorem for weakly dependent sequences of random variables
- The central limit theorem for time series regression
- On the validity of the formal Edgeworth expansion
- The almost sure invariance principles of degenerate \(U\)-statistics of degree two for stationary random variables
- Weak convergence and empirical processes. With applications to statistics
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Komlós-Major-Tusnády approximation under dependence
- Strong invariance principles for dependent random variables
- Nonlinear spectral density estimation: thresholding the correlogram
- Gaussian approximations for non-stationary multiple time series
- Invariance principles for von Mises and U-statistics
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
- Testing That a Dependent Process Is Uncorrelated
- Simple Robust Testing of Regression Hypotheses
- A Thresholding-Based Prewhitened Long-Run Variance Estimator and Its Dependence-Oracle Property
- A Self-Normalized Approach to Confidence Interval Construction in Time Series
- A Time‐Symmetric Self‐Normalization Approach for Inference of Time Series
- Invariance Principle for U-Statistics and von Mises' Functionals of Weakly Dependent Observations
- Unsupervised Self-Normalized Change-Point Testing for Time Series
- Inference for Linear Models with Dependent Errors
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Testing for Change Points in Time Series
- A Single-Pass Algorithm for Spectrum Estimation With Fast Convergence
- Self-Normalization for Time Series: A Review of Recent Developments
- Nonlinear system theory: Another look at dependence
- Observed Confidence Levels
- Weak Convergence of $U$-Statistics and Von Mises' Differentiable Statistical Functions
- On the Asymptotic Distribution of Differentiable Statistical Functions
- The bootstrap and Edgeworth expansion
- On multivariate higher order von Mises expansions
