Central limit theorems for arrays of decimated linear processes

DOI10.1016/J.SPA.2009.03.009zbMATH Open1173.60311arXiv0805.0779OpenAlexW2963290506MaRDI QIDQ841489FDOQ841489

Authors: François Roueff, Murad S. Taqqu 

Publication date: 17 September 2009

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

Abstract: Linear processes are defined as a discrete-time convolution between a kernel and an infinite sequence of i.i.d. random variables. We modify this convolution by introducing decimation, that is, by stretching time accordingly. We then establish central limit theorems for arrays of squares of such decimated processes. These theorems are used to obtain the asymptotic behavior of estimators of the spectral density at specific frequencies. Another application, treated elsewhere, concerns the estimation of the long-memory parameter in time-series, using wavelets.

Full work available at URL: https://arxiv.org/abs/0805.0779

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zbMATH Keywords

semiparametric estimationspectral analysiswavelet analysislong range dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

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Cited In (10)

• Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
• Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators
• Strong consistency and CLT for the random decrement estimator
• Large scale reduction principle and application to hypothesis testing
• Title not available (Why is that?)
• Moment bounds and central limit theorems for Gaussian subordinated arrays
• Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• Gaussian approximation for the moving averaged modulus wavelet transform and its variants
• Locally stationary long memory estimation

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