MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
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Publication:5408115
DOI10.1111/jtsa.12046zbMath1291.62160arXiv1211.0576OpenAlexW1692832509MaRDI QIDQ5408115
Publication date: 8 April 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.0576
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Related Items (23)
Two-sample U-statistic processes for long-range dependent data ⋮ Conditional marginal expected shortfall ⋮ Functional limit theorems for Volterra processes and applications to homogenization* ⋮ On asymptotics of discretized functionals of long-range dependent functional data ⋮ Limit theorems for filtered long-range dependent random fields ⋮ Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders ⋮ Reduction principle for functionals of vector random fields ⋮ Limit theorems in the context of multivariate long-range dependence ⋮ Non-central limit theorems and convergence rates ⋮ Sensitivity of the Hermite rank ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Local robust estimation of the Pickands dependence function ⋮ Oscillating Gaussian processes ⋮ Strong asymptotic independence on Wiener chaos ⋮ Reduction principle for functionals of strong-weak dependent vector random fields ⋮ Limit theorems for long-memory flows on Wiener chaos ⋮ Functional limit theorems for power series with rapid decay of moving averages of Hermite processes ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ Modeling temporally uncorrelated components of complex-valued stationary processes ⋮ Weak convergence of weighted additive functionals of long-range dependent fields ⋮ Generating diffusions with fractional Brownian motion ⋮ Rough homogenisation with fractional dynamics ⋮ Functional limit theorems for the fractional Ornstein-Uhlenbeck process
Uses Software
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