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Asymptotics of empirical processes of long memory moving averages with infinite variance

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  • Koul, Hira L.
  • Surgailis, Donatas

Abstract

This paper obtains a uniform reduction principle for the empirical process of a stationary moving average time series {Xt} with long memory and independent and identically distributed innovations belonging to the domain of attraction of symmetric [alpha]-stable laws, 1

Suggested Citation

  • Koul, Hira L. & Surgailis, Donatas, 2001. "Asymptotics of empirical processes of long memory moving averages with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 309-336, February.
  • Handle: RePEc:eee:spapps:v:91:y:2001:i:2:p:309-336
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    References listed on IDEAS

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    1. Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
    2. Koul, Hira L., 1992. "M-estimators in linear models with long range dependent errors," Statistics & Probability Letters, Elsevier, vol. 14(2), pages 153-164, May.
    3. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
    4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    5. Knight, Keith, 1993. "Estimation in Dynamic Linear Regression Models with Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 9(04), pages 570-588, August.
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    Citations

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    Cited by:

    1. Li, Linyuan, 2003. "On Koul's minimum distance estimators in the regression models with long memory moving averages," Stochastic Processes and their Applications, Elsevier, vol. 105(2), pages 257-269, June.
    2. Toshio Honda, 2010. "Nonparametric estimation of conditional medians for linear and related processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 995-1021, December.
    3. Taufer, Emanuele, 2015. "On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 262-271.
    4. Chan, Ngai Hang & Zhang, Rong-Mao, 2013. "Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 18-33.
    5. repec:eee:stapro:v:132:y:2018:i:c:p:17-27 is not listed on IDEAS
    6. Liang Peng & Qiwei Yao, 2004. "Nonparametric regression under dependent errors with infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(1), pages 73-86, March.
    7. Andreas Basse-O'Connor & Raphaël Lachièze-Rey & Mark Podolskij, 2015. "Limit theorems for stationary increments Lévy driven moving averages," CREATES Research Papers 2015-56, Department of Economics and Business Economics, Aarhus University.
    8. Surgailis, Donatas, 0. "Stable limits of empirical processes of moving averages with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 255-274, July.
    9. Zhou, Zhou & Wu, Wei Biao, 2011. "On linear models with long memory and heavy-tailed errors," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 349-362, February.
    10. Ngai Chan & Rongmao Zhang, 2009. "M-estimation in nonparametric regression under strong dependence and infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(2), pages 391-411, June.
    11. Toshio Honda, 2009. "Nonparametric density estimation for linear processes with infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(2), pages 413-439, June.
    12. Beutner, Eric & Wu, Wei Biao & Zähle, Henryk, 2012. "Asymptotics for statistical functionals of long-memory sequences," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 910-929.
    13. Peng, Liang & Yao, Qiwei, 2004. "Nonparametric regression under dependent errors with infinite variance," LSE Research Online Documents on Economics 22874, London School of Economics and Political Science, LSE Library.
    14. Luis G. Gorostiza & Reyla A. Navarro & Eliane R. Rodrigues, 2004. "Some Long-Range Dependence Processes Arising from Fluctuations of Particle Systems," RePAd Working Paper Series lrsp-TRS401, Département des sciences administratives, UQO.

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