Limit theorems for aggregated linear processes

Johannes Moritz Jirak

doi:10.1239/aap/1370870128

Limit theorems for aggregated linear processes

Johannes Moritz Jirak

Institut für Statistik (5060)

Publikation: Beitrag in einer Fachzeitschrift › Artikel › Begutachtung

Abstract

In this paper we develop an asymptotic theory of aggregated linear processes, and determine in particular the limit distribution of a large class of linear and nonlinear functionals of such processes. Given a sample {Y1(N),…,Yn(N)} of the normalized N-fold aggregated process, we describe the limiting behavior of statistics TN,n= TN,n(Y1(N),…, Yn(N)) in both of the cases n/N(n) → 0 and N(n)/n → 0, assuming either a ‘limiting long- or short-memory’ condition on the underlying linear process.

Originalsprache	englisch
Seiten (von - bis)	520-544
Fachzeitschrift	Advances in Applied Probability
Jahrgang	45
Ausgabenummer	2
DOIs	https://doi.org/10.1239/aap/1370870128
Publikationsstatus	Veröffentlicht - 2013

Fields of Expertise

Information, Communication & Computing

Treatment code (Nähere Zuordnung)

Basic - Fundamental (Grundlagenforschung)

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10.1239/aap/1370870128

Asymptotische and statistische Analyse von Zeitreihen in Wirtschaft und Finanz.
Schauer, J. (Teilnehmer), Berkes, I. (Projektleiter), Hörmann, S. (Sonstige Funktion) & Jirak, J. M. (Teilnehmer)
1/01/02 → 31/12/24
Projekt: Arbeitsgebiet

Dieses zitieren

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DO - 10.1239/aap/1370870128

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Limit theorems for aggregated linear processes

Abstract

Fields of Expertise

Treatment code (Nähere Zuordnung)

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Projekte

Asymptotische and statistische Analyse von Zeitreihen in Wirtschaft und Finanz.

Dieses zitieren