Asymptotic behavior of weakly dependent aggregated processes
From MaRDI portal
Publication:1945281
DOI10.1007/s10998-011-5039-6zbMath1274.60110OpenAlexW2071145777MaRDI QIDQ1945281
Publication date: 5 April 2013
Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10998-011-5039-6
Nonparametric estimation (62G05) Functional limit theorems; invariance principles (60F17) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (1)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Aggregation and memory of models of changing volatility
- Moment theory and some inverse problems in potential theory and heat conduction
- Zones of attraction of self-similar multiple integrals
- Central limit theorem for stationary linear processes
- Hausdorff moment problem: reconstruction of probability density functions
- Recent advances in invariance principles for stationary sequences
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long memory relationships and the aggregation of dynamic models
- Time series: theory and methods.
- Nonlinear time series with long memory: A model for stochastic volatility
- On the shape-from-moments problem and recovering edges from noisy Radon data
- A new maximal inequality and invariance principle for stationary sequences
- A nonlinear integral equation of gravimetry: Uniqueness and approximation by linear moments
- Rescaled variance and related tests for long memory in volatility and levels
- A model for long memory conditional heteroscedasticity.
- Central limit theorems for additive functionals of Markov chains.
- Aggregation in ARCH models
- Distributional limit theorems over a stationary Gaussian sequence of random vectors.
- Martingale approximations for sums of stationary processes.
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Modeling volatility persistence of speculative returns: a new approach
- On the functional central limit theorem for stationary processes
- Disaggregation of long memory processes on \(\mathcal C^\infty\) class
- Contemporaneous aggregation of linear dynamic models in large economies
- Stability of random coefficient ARCH models and aggregation schemes
- From short to long memory: aggregation and estimation
- Orthogonal series density estimation in a disaggregation scheme
- A new covariance inequality and applications.
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Superposition of Ornstein--Uhlenbeck Type Processes
- Limit Theorems for Aggregated Linear Processes
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
- A statistical minimax approach to the Hausdorff moment problem
- AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
- Asymptotic normality of the mixture density estimator in a disaggregation scheme
- Invariance principle for stochastic processes with short memory
- CLT and other limit theorems for functionals of Gaussian processes
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Almost sure invariance principles for partial sums of weakly dependent random variables
- Convergence of integrated processes of arbitrary Hermite rank
- Non-central limit theorems for non-linear functional of Gaussian fields
- A Nonparametric Test for I(0)
- Long-Term Memory in Stock Market Prices
- Linear Regression Limit Theory for Nonstationary Panel Data
- Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- Dynamic models of long-memory processes driven by Lévy noise
- Contemporaneous aggregation of GARCH processes
- Some results for moment-empirical cumulative distribution functions
- Long memory with seasonal effects
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Asymptotic behavior of weakly dependent aggregated processes
