Central limit theorems for arrays of decimated linear processes
From MaRDI portal
Publication:841489
DOI10.1016/j.spa.2009.03.009zbMath1173.60311arXiv0805.0779MaRDI QIDQ841489
Murad S. Taqqu, François Roueff
Publication date: 17 September 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0805.0779
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
60F05: Central limit and other weak theorems
62M15: Inference from stochastic processes and spectral analysis
60G18: Self-similar stochastic processes
Related Items
Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory, Locally stationary long memory estimation, 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
Cites Work
- Approximations and limit theory for quadratic forms of linear processes
- Estimators of long-memory: Fourier versus wavelets
- Asymptotic normality of wavelet estimators of the memory parameter for linear processes
- On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
- Convergence of random spectral measures and applications to invariance principles.
- Unnamed Item
- Unnamed Item
- Unnamed Item