On linear processes with dependent innovations
نویسندگان
چکیده
منابع مشابه
On Linear Processes with Dependent Innovations
We investigate asymptotic properties of partial sums and sample covariances for linear processes whose innovations are dependent. Central limit theorems and invariance principles are established under fairly mild conditions. Our results go beyond earlier ones by allowing a quite wide class of innovations which includes many important non-linear time series models. Applications to linear process...
متن کاملSurrogate testing of linear feedback processes with non - Gaussian innovations
Surrogate testing of linear feedback processes with non-Gaussian innovations Radhakrishnan Nagarajan Abstract Surrogate testing is used widely to determine the nature of the process generating the given empirical sample. In the present study, the usefulness of phase-randomized surrogates, amplitude adjusted Fourier transform (AAFT) and iterated amplitude adjusted Fourier transform (IAAFT) surro...
متن کاملAn innovations algorithm for the prediction of functional linear processes
When observations are curves over some natural time interval, the field of functional data analysis comes into play. Functional linear processes account for temporal dependence in the data. The prediction problem for functional linear processes has been solved theoretically, but the focus for applications has been on functional autoregressive processes. We propose a new computationally tractabl...
متن کاملOn Functional Central Limit Theorems for Linear Random Fields with Dependent Innovations
For a linear random field (linear p-parameter stochastic process) generated by a dependent random field with zero mean and finite qth moments (q > 2p), we give sufficient conditions that the linear random field converges weakly to a multiparameter standard Brownian motion if the corresponding dependent random field does so. 2000 Mathematics subject classification: 60F17, 60G15.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2005
ISSN: 0304-4149
DOI: 10.1016/j.spa.2005.01.001