Limit theorem for polynomials of a linear process with long-range dependence
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Publication:751016
DOI10.1007/BF00966075zbMath0714.60016MaRDI QIDQ751016
Donatas Surgailis, Liudas Giraitis
Publication date: 1989
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Convergence of probability measures (60B10)
Related Items (12)
A model for long memory conditional heteroscedasticity. ⋮ Asymptotics of empirical processes of long memory moving averages with infinite variance. ⋮ Asymptotic normality of regression estimators with long memory errors ⋮ Asymptotic results for long memory LARCH sequences ⋮ Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence ⋮ Asymptotic independence of distant partial sums of linear processes ⋮ On the weak invariance principle for non-adapted sequences under projective criteria ⋮ Long-range dependence and Appell rank ⋮ Second-order behavior of M-estimators in linear regression with long-memory errors ⋮ Marginal density estimation for linear processes with cyclical long memory ⋮ Convergence of normalized quadratic forms ⋮ Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
Cites Work
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- Noncentral limit theorems and Appell polynomials
- Multiple Wiener-Ito integrals. With applications to limit theorems
- Limit theorems for Fourier transforms of functionals of Gaussian sequences
- 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
- Semi-Stable Stochastic Processes
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