The Lindeberg-Levy Theorem for Martingales

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Ildar Abdullovich Ibragimov (on his ninetieth birthday)
Limit theorems and inequalities via martingale methods
Asymptotically best response-adaptive randomization procedures
Portmanteau test for the asymmetric power GARCH model when the power is unknown
A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
A score type test for general autoregressive models in time series
Limit theorems for von Mises statistics of a measure preserving transformation
The split-BREAK model
Minimum density power divergence estimator for GARCH models
Limit theorems for nonnegative-definite quadratic forms in certain dependent random variables
The weak convergence of the likelihood ratio random fields for Markov observations
Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
First-order random coefficient integer-valued autoregressive processes
The estimation of multivariate random coefficient autoregressive models
Conditional asymmetry in power ARCH\((\infty)\) models
Bootstrapping Markov chains: Countable case
ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
A study of RCINAR(1) process with generalized negative binomial marginals
Goodness-of-fit tests for vector autoregressive models in time series
On the adaptive control of finite state Markov processes
Fitting birth-and-death queueing models to data
Piecewise deterministic Markov processes applied to fatigue crack growth modelling
Inconsistency of the MLE and inference based on weighted LS for LARCH models
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
Identification of threshold autoregressive moving average models
Parametric inference for discretely observed subordinate diffusions
The price leadership share: a new measure of price discovery in financial markets
CLT for stationary normal Markov chains via generalized coboundaries
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Copula-based Markov zero-inflated count time series models with application
Identification and estimation of non-Gaussian structural vector autoregressions
Variance estimation in the central limit theorem for Markov chains
Law of large numbers and central limit theorem for ergodic quantum processes
Modeling economic time series by forward and backward state space innovation models and IV estimators
State estimation for partially observed Markov chains
Quantile regression estimator for GARCH models
Gaussian mixture vector autoregression
Quantile regression for location-scale time series models with conditional heteroscedasticity
A new non-linear AR(1) time series model having approximate beta marginals
On the central limit theorem for sums of dependent random variables
QMLE of periodic integer-valued time series models
Tercentennial anniversary of Bernoulli's law of large numbers
Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
A Gaussian Mixture Autoregressive Model for Univariate Time Series
GARCH models without positivity constraints: exponential or log GARCH?
Parameter estimation for point processes with partial observations: A filtering approach
Orthomartingale-coboundary decomposition for stationary random fields
On model order estimation for partially observed Markov chains
Statistical inference for G/M/1 queueing system
Martingale approximations for continuous-time and discrete-time stationary Markov processes
New mixed time series models having approximated beta marginals
Asymptotic normality of the MLE in the level-effect ARCH model
DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
Some properties of convergence in distribution of sums and maxima of dependent random variables
Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
Biharmonic functions on groups and limit theorems for quasimorphisms along random walks
On the exactness of the Wu-Woodroofe approximation
Least squares estimation of ARCH models with missing observations
Central limit theorem and weak law of large numbers with rates for martingales in Banach spaces
On periodic logGARCH model with empirical application model with empirical application
Data-driven smooth tests for the martingale difference hypothesis
On the central limit theorem and law of the iterated logarithm for stationary processes with applications to linear processes
A Characterization of the Multiparameter Wiener Process and an Application
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
Estimation in nonlinear time series models
Empirical likelihood ratio tests for multivariate regression models
Estimating malaria incidence and recovery rates from panel surveys
Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
Extended binomial AR(1) processes with generalized binomial thinning operator
Annealed and quenched limit theorems for random expanding dynamical systems
Specification tests of parametric dynamic conditional quantiles
Note on minimum contrast estimates for Markov processes
Econometric duration analysis
A multinomial autoregressive model for finite-range time series of counts
Goodness-of-fit test for response adaptive clinical trials
Chasing volatility. A persistent multiplicative error model with jumps
Inference on GARCH-MIDAS models without any small-order moment
Asymptotic theory of the adaptive sparse group Lasso
A stochastic model for predator-prey systems: basic properties, stability and computer simulation
The estimation of frequency in the multichannel sinusoidal model
Estimation of autoregressive models with epsilon-skew-normal innovations
On the functional central limit theorem and the law of the iterated logarithm for Markov processes
Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
Asymptotic normality of maximum likelihood estimators from multiparameter response-driven designs
On the central limit theorem for stationary processes
The Doubly Adaptive LASSO for Vector Autoregressive Models
QML inference for volatility models with covariates
On limit theorems for fields of martingale differences
Asymptotic distribution of the log-likelihood function for stochastic processes
Prediction and classification of non-stationary categorical time series
The central limit theorem for a class of stochastic processes
Efficient estimation of copula-based semiparametric Markov models
Minimum density power divergence estimator for Poisson autoregressive models
A stochastic recurrence equations approach for score driven correlation models
A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
Limit theorems for sums of heavy-tailed variables with random dependent weights
Estimation of unobserved counts from partially observed multinomial distributions
Asymptotic theory for multivariate GARCH processes.
Martingale Convergence to Infinitely Divisible Laws with Finite Variances

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