Asymptotics for random functions moderated by dependent noise

Ansgar Steland ()
Additional contact information
Ansgar Steland: RWTH Aachen University

Statistical Inference for Stochastic Processes, 2016, vol. 19, issue 3, No 5, 363-387

Abstract: Abstract We study limit theorems for a wide class of multi-parameter stochastic processes which are driven by a noise process which may be weakly or even long-range dependent. The processes under study arise in diverse areas and fields such as functional data analysis, life science, engineering and finance. It turns out that under fairly weak conditions on the underlying noise process the limiting law of the corresponding partial sum process is a consequence of the weak convergence of the sequential empirical Kiefer process. The asymptotic limit theory covers the classical large sample situation as well as a general change-point model which extends the location-scale model often considered in change-point analysis. The scope of the results is illustrated by various applications.

Keywords: Change-point; Copula; Empirical process; Functional data; Long memory; Time series; Primary 60F17; 62E20; Secondary 60F05; 60G40; 62L10 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11203-015-9130-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:19:y:2016:i:3:d:10.1007_s11203-015-9130-0

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-015-9130-0

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().