Distant long-range dependent sums and regression estimation

Sándor Csörgo and Jan Mielniczuk

Stochastic Processes and their Applications, 1995, vol. 59, issue 1, 143-155

Abstract: Consider a stationary sequence G(Z0), G(Z1), ..., where G(·) is a Borel function and Z0, Z1, ... is a sequence of standard normal variables with covariance function E(Z0Zj) = j-[alpha]L(j), j = 1, 2, ..., where E(G(Z0)) = 0, E(G2(Z0)) 0 and sequences of gap-lengths l1,n, ..., lk,n such that l1,n --> [infinity] and lj,n - lj-1,n --> [infinity], j = 2, ..., k, arbitrary slowly, the vector process , 0

Keywords: Long-range; dependence; Delayed; sums; Joint; weak; convergence; Asymptotic; independence; Non-parametric; regression (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (4)

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