Delta method for long-range dependent observations

DOI10.1080/10485259508832635zbMath0874.62010OpenAlexW2088833169MaRDI QIDQ4345887

Jan Mielniczuk, Ola G. Hössjer

Publication date: 13 November 1997

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485259508832635

zbMATH Keywords

Gaussian modelTaylor expansionlong-range dependencedelta methodempirical distributionnormal observationsnormal location modelasymptotic law of \(L\)-estimatescompactly differentiable statistical functional

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes (62M99)

Related Items (2)

Application of the delta method to functions of the sample mean when observations are dependent ⋮ On optimal block resampling for Gaussian-subordinated long-range dependent processes

Cites Work

• The empirical process of some long-range dependent sequences with an application to U-statistics
• Asymptotic distribution theory of statistical functionals: The compact derivative approach for robust estimators
• Robust asymptotic statistics
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields

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