Weak dependence and GMM estimation of supOU and mixed moving average processes
نویسندگان
چکیده
منابع مشابه
Tail Behavior of Multivariate Lévy-Driven Mixed Moving Average Processes and supOU Stochastic Volatility Models
Multivariate Lévy-driven mixed moving average (MMA) processes of the type Xt = ∫ ∫ f(A, t − s)Λ(dA, ds) cover a wide range of well known and extensively used processes such as Ornstein-Uhlenbeck processes, superpositions of Ornstein-Uhlenbeck (supOU) processes, (fractionally integrated) CARMA processes and increments of fractional Lévy processes. In this paper, we introduce multivariate MMA pro...
متن کاملComplete convergence of moving-average processes under negative dependence sub-Gaussian assumptions
The complete convergence is investigated for moving-average processes of doubly infinite sequence of negative dependence sub-gaussian random variables with zero means, finite variances and absolutely summable coefficients. As a corollary, the rate of complete convergence is obtained under some suitable conditions on the coefficients.
متن کاملMoving Average Processes with Infinite Variance
The sample autocorrelation function (acf) of a stationary process has played a central statistical role in traditional time series analysis, where the assumption is made that the marginal distribution has a second moment. Now, the classical methods based on acf are not applicable in heavy tailed modeling. Using the codifference function as dependence measure for such processes be shown it be as...
متن کاملComplete convergence of moving average processes under dependence assumptions 1
Let {Yi;-oc < i < c~} be a doubly infinite sequence of identically distributed and (b-mixing random variables, (ai; ~ < i < oc} an absolutely summable sequence of real numbers. In this paper, we prove the complete convergence of {Ek=xn ~io~=_¢xz ai+kYi/nt/,; n>~ 1} under some suitable conditions. AMS classification: 60G50; 60F15
متن کاملcomplete convergence of moving-average processes under negative dependence sub-gaussian assumptions
the complete convergence is investigated for moving-average processes of doubly infinite sequence of negative dependence sub-gaussian random variables with zero means, finite variances and absolutely summable coefficients. as a corollary, the rate of complete convergence is obtained under some suitable conditions on the coefficients.
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: Electronic Journal of Statistics
سال: 2019
ISSN: 1935-7524
DOI: 10.1214/18-ejs1523