Strong approximation for cross-covariances of linear variables with long-range dependence

DOI10.1016/0304-4149(95)00069-0zbMath0841.60021OpenAlexW2087110526MaRDI QIDQ1910903

Michael A. Kouritzin

Publication date: 18 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00069-0

zbMATH Keywords

law of the iterated logarithmlinear processesalmost sure invariance principlecovariance processnon-stationary innovations

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Related Items (6)

Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage ⋮ On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes ⋮ Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance ⋮ Detecting changes in the second moment structure of high-dimensional sensor-type data in a K-sample setting ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series ⋮ Limit theorems for quadratic forms with applications to Whittle's estimate

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