The integrated periodogram for stable processes

DOI10.1214/AOS/1069362301MaRDI QIDQ1354493zbMATH OpenOpenAlexFDO

Authors Claudia Klüppelberg, T. Mikosch

Publication date 3 November 1998

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1069362301

zbMATH Keywords

goodness-of-fit testsquadratic formfrequency domainfunctional limit theoremmoving average processintegrated periodogramalpha-stable linear processes

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

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• Nonparametric regression under dependent errors with infinite variance
• Asymptotic normality of spectral means of Hilbert space valued random processes
• Discriminant analysis for dynamics of stable processes
• Empirical spectral processes for stationary state space models
• Functional central limit theorems for self-normalized partial sums of linear processes
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• The integrated periodogram of a dependent extremal event sequence
• The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables
• The integrated periodogram for long-memory processes with finite or infinite variance
• Robust inference theory for non-regular time series models and its extensions
• Rank tests of unit root hypothesis with infinite variance errors
• Cluster analysis for stable processes
• An empirical likelihood approach for symmetric \(\alpha\)-stable processes
• The periodogram at the Fourier frequencies
• Robust causality test of infinite variance processes
• On multivariate nonlinear regression models with stationary correlated errors
• Gaussian limit fields for the integrated periodogram
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• The integrated copula spectrum
• scientific article; zbMATH DE number 4199165 (Why is no real title available?)
• Variance change point detection for fractional Brownian motion based on the likelihood ratio test
• Robust parameter estimation for stationary processes by an exotic disparity from prediction problem
• Empirical likelihood approach toward discriminant analysis for dynamics of stable processes
• Distribution free goodness-of-fit tests for linear processes
• Weak convergence of the function-indexed integrated periodogram for infinite variance processes
• A central limit theorem for self-normalized sums of a linear process

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