Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes

DOI10.1016/j.spa.2015.10.010zbMath1333.60024OpenAlexW2186459631MaRDI QIDQ5965369

Murad S. Taqqu, Shuyang Bai, Mamikon S. Ginovyan

Publication date: 3 March 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2015.10.010

zbMATH Keywords

Brownian motioncentral limit theoremlong memoryLévy processTeugels martingaleToeplitz type quadratic functionalWiener-Itō integral

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages ⋮ Statistical inference for stationary linear models with tapered data ⋮ Robust estimation for continuous-time linear models with memory ⋮ Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data ⋮ On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models ⋮ On the robustness to small trends of parameter estimation for continuous-time stationary models with memory ⋮ Parameter estimation for Lévy-driven continuous-time linear models with tapered data ⋮ Unnamed Item ⋮ Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Statistical estimation for stationary models with tapered data

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