Asymptotics of partial sums of linear processes with changing memory parameter

DOI10.1007/s10986-013-9203-yzbMath1278.60065OpenAlexW2003888735MaRDI QIDQ2393664

Remigijus Leipus, Donatas Surgailis

Publication date: 8 August 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-013-9203-y

zbMATH Keywords

linear processpartial-sum limitstime-varying memorytype II fractional Brownian motion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Simultaneous quantile inference for non-stationary long-memory time series ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

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