Asymptotics for moving average processes with dependent innovations
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Publication:5953876
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Cites work
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTIC BEHAVIOUR OF DISCRETE LINEAR PROCESSES
- Asymptotics for linear processes
- Central limit theorem for linear processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Hyperbolic Decay Time Series
- Invariance principles for mixing sequences of random variables
- Maximal inequalities for partial sums of \(\rho\)-mixing sequences
- Noncentral limit theorems and Appell polynomials
- On the central limit theorem and law of the iterated logarithm for stationary processes with applications to linear processes
- Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
- The Fractional Unit Root Distribution
- The Invariance Principle for Stationary Processes
- The central limit theorem for time series regression
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(17)- New robust confidence intervals for the mean under dependence
- Limit theorems for aggregated linear processes
- A general result on precise asymptotics for moving average processes of \(m\)-dependent \(B\)-valued elements
- Linear processes, long-range dependence and asymptotic expansions
- On the local limit theorems for linear sequences of lower psi-mixing Markov chains
- Invariance principles for linear processes with application to isotonic regression
- The functional CLT for linear processes generated by mixing random variables with infinite variance
- scientific article; zbMATH DE number 6672043 (Why is no real title available?)
- scientific article; zbMATH DE number 6310973 (Why is no real title available?)
- Asymptotic properties for linear processes of functionals of reversible or normal Markov chains
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- Functional limit theorem for moving average processes generated by dependent random vari\-ables
- Limit theorems for self-normalized linear processes
- A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations
- Asymptotic independence of distant partial sums of linear processes
- Asymptotics for linear processes
- A local limit theorem for linear random fields
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