Limit theorem for polynomials of a linear process with long-range dependence

DOI10.1007/BF00966075zbMATH Open0714.60016MaRDI QIDQ751016FDOQ751016

Authors: L. Giraitis, Donatas Surgailis 

Publication date: 1989

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

convergence of finite dimensional distributionsmultiple Wiener-Ito integralsregularly at infinity

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Cites Work

• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Noncentral limit theorems and Appell polynomials
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Non-central limit theorems for non-linear functional of Gaussian fields
• Limit theorems for Fourier transforms of functionals of Gaussian sequences
• Semi-Stable Stochastic Processes
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (13)

• Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
• Asymptotic normality of regression estimators with long memory errors
• Second-order behavior of M-estimators in linear regression with long-memory errors
• Marginal density estimation for linear processes with cyclical long memory
• Long-range dependence and Appell rank
• Convergence of normalized quadratic forms
• A model for long memory conditional heteroscedasticity.
• The impact of the diagonals of polynomial forms on limit theorems with long memory
• On the weak invariance principle for non-adapted sequences under projective criteria
• Asymptotic results for long memory LARCH sequences
• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Asymptotic independence of distant partial sums of linear processes
• Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence

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