Weakly dependent chains with infinite memory
From MaRDI portal
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Functional limit theorems; invariance principles (60F17) Economic growth models (91B62) Stochastic processes (60G99)
Abstract: We prove the existence of a weakly dependent strictly stationary solution of the equation called {em chain with infinite memory}. Here the {em innovations} constitute an independent and identically distributed sequence of random variables. The function takes values in some Banach space and satisfies a Lipschitz-type condition. We also study the interplay between the existence of moments and the rate of decay of the Lipschitz coefficients of the function . With the help of the weak dependence properties, we derive Strong Laws of Large Number, a Central Limit Theorem and a Strong Invariance Principle.
Recommendations
- An extension of a K. Yamada's theorem to equations with memory
- A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
- Weak invariance principle for solutions of stochastic recurrence equations in a banach space
- Weak dependence, models and some applications
- A fixed point approach to model random fields
Cites work
- scientific article; zbMATH DE number 3143162 (Why is no real title available?)
- scientific article; zbMATH DE number 3155055 (Why is no real title available?)
- scientific article; zbMATH DE number 44591 (Why is no real title available?)
- scientific article; zbMATH DE number 976356 (Why is no real title available?)
- scientific article; zbMATH DE number 3309776 (Why is no real title available?)
- A LARCH(∞) Vector Valued Process
- A new covariance inequality and applications.
- A new maximal inequality and invariance principle for stationary sequences
- A new weak dependence condition and applications to moment inequalities
- Asymptotic theory of weakly dependent stochastic processes
- Chains with complete connections and one-dimensional {G}ibbs measures
- Chains with infinite connections: Uniqueness and Markov representation
- Convergence rates for density estimators of weakly dependent time series
- Coupling for \(\tau\)-dependent sequences and applications
- Foundations of Modern Probability
- Iterated Random Functions
- Kalman Filtering with Random Coefficients and Contractions
- Mixing: Properties and examples
- Non-strong mixing autoregressive processes
- Nonlinear system theory: Another look at dependence
- On the weak invariance principle for stationary sequences under projective criteria
- Prescribing a System of Random Variables by Conditional Distributions
- Processes with long memory: Regenerative construction and perfect simulation
- Statistical mechanics and fractals
- The Multivariate Ginar(p) Process
- The functional central limit theorem for strongly mixing processes
- Variable length Markov chains
- Weak dependence for infinite ARCH-type bilinear models
- Weak dependence. With examples and applications.
Cited in
(60)- A new estimator for LARCH processes
- Strong mixing properties of discrete-valued time series with exogenous covariates
- Learning CHARME models with neural networks
- Dimension-free bounds for sums of dependent matrices and operators with heavy-tailed distributions
- A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection
- Efficient and consistent model selection procedures for time series
- Generalized Gaussian quasi-maximum likelihood estimation for most common time series
- Inference and testing for structural change in general Poisson autoregressive models
- Self-normalized Cramér-type moderate deviations under dependence
- Multiple breaks detection in general causal time series using penalized quasi-likelihood
- Flexible and Robust Mixed Poisson INGARCH Models
- General Hannan and Quinn criterion for common time series
- Quasi-likelihood inference for negative binomial time series models
- Self-excited hysteretic negative binomial autoregression
- On periodic ergodicity of a general periodic mixed Poisson autoregression
- Mixing properties of integer-valued GARCH processes
- Inference for nonstationary time series of counts with application to change-point problems
- Data-driven model selection for same-realization predictions in autoregressive processes
- Oscillations and moduli of continuity of kernel density estimators under dependence
- A general procedure for change-point detection in multivariate time series
- A Dynamic Taylor’s law
- Optimal change-point estimation in time series
- Bahadur representations of M-estimators and their applications in general linear models
- On binary and categorical time series models with feedback
- Estimation and testing linearity for non-linear mixed Poisson autoregressions
- Prediction of time series by statistical learning: general losses and fast rates
- On weak dependence conditions: the case of discrete valued processes
- Model selection for weakly dependent time series forecasting
- Ergodicity conditions for a double mixed Poisson autoregression
- Weak dependence, models and some applications
- Rejoinder on: Some recent theory for autoregressive count time series
- A generalized mixture integer-valued GARCH model
- Strongly consistent model selection for general causal time series
- A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
- Correction to ``On weak dependence conditions for Poisson autoregressions
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Mixtures of nonlinear Poisson autoregressions
- Contrast estimation of time-varying infinite memory processes
- Rejoinder on: Subsampling weakly dependent time series and application to extremes
- Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
- Adaptive density estimation under weak dependence
- Inference and model selection in general causal time series with exogenous covariates
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Modeling normalcy‐dominant ordinal time series: An application to air quality level
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Kernel estimation for time series: an asymptotic theory
- Multivariate count autoregression
- A fixed point approach to model random fields
- Comments on: Some recent theory for autoregressive count time series
- Monitoring procedure for parameter change in causal time series
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
- Quasi-maximum likelihood estimation of GARCH with Student distributed noise
- On weak dependence conditions for Poisson autoregressions
- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process
- Subsampling weakly dependent time series and application to extremes
- Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Threshold negative binomial autoregressive model
This page was built for publication: Weakly dependent chains with infinite memory
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q952736)
