scholarly journals Marginal density estimation for linear processes with cyclical long memory

2011 ◽  
Vol 81 (9) ◽  
pp. 1354-1364 ◽  
Author(s):  
Mohamedou Ould Haye ◽  
Anne Philippe
Keyword(s):  
Density Estimation ◽  
Long Memory ◽  
Marginal Density ◽  
Linear Processes ◽  
Marginal Density Estimation

scholarly journals Density Estimation for Spatial Linear Processes

Bernoulli ◽  
2001 ◽  
Vol 7 (4) ◽  
pp. 657 ◽  
Author(s):  
Marc Hallin ◽  
Zudi Lu ◽  
Lanh Tat Tran
Keyword(s):  
Density Estimation ◽  
Linear Processes

scholarly journals Covariances Estimation for Long-Memory Processes

2010 ◽  
Vol 42 (1) ◽  
pp. 137-157 ◽  
Author(s):  
Wei Biao Wu ◽  
Yinxiao Huang ◽  
Wei Zheng
Keyword(s):  
Time Series ◽  
Asymptotic Behavior ◽  
Long Memory ◽  
Limit Theorems ◽  
Limiting Distribution ◽  
Linear Processes ◽  
Long Memory Processes ◽  
Noncentral Limit Theorems ◽  
Dependence Properties

For a time series, a plot of sample covariances is a popular way to assess its dependence properties. In this paper we give a systematic characterization of the asymptotic behavior of sample covariances of long-memory linear processes. Central and noncentral limit theorems are obtained for sample covariances with bounded as well as unbounded lags. It is shown that the limiting distribution depends in a very interesting way on the strength of dependence, the heavy-tailedness of the innovations, and the magnitude of the lags.

scholarly journals On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

2015 ◽  
Vol 125 (2) ◽  
pp. 482-512 ◽  
Author(s):  
Rong-Mao Zhang ◽  
Chor-yiu (CY) Sin ◽  
Shiqing Ling
Keyword(s):  
Long Memory ◽  
Linear Processes
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