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Finite sample forecasting with estimated temporally aggregated linear processes
linearmodels ARMA temporal aggregation forecasting finite sample forecasting flow temporal aggregation stock temporal aggregation multistep forecasting
2012/11/22
We propose a finite sample based predictor for estimated linear one dimensional time series models and compute the associated total forecasting error. The expression for the error that we present take...
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Statistics Theory (math.ST)
2010/12/17
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al...
SOME REMARKS ON THE CENTRAL LIMIT THEOREM FOR FUNCTIONALS OF LINEAR PROCESSES UNDER SHORT-RANGE DEPENDENCE
Central limit theorem, linear process time series short-range dependence Markov chain
2009/9/18
In this paper we consider the central limit theorems for
functionals G: R"' -, R of one-sided m-dimensional linear processes
X, = xr= A, 2,-, , where A, is a nonrandom matrix m x in and 2,'s are
i....
BOUNDS FOR E |Sn|Q FOR SUBORDINATED LINEAR PROCESSES WITH APPLICATION TO M-ESTIMATION
Linear process empirical processes time series short-range dependence M-estimation
2009/9/18
Let Xj =
P1
r=0 ArZj−r be a one-sided m-dimensional
linear process, where (Zn) is a sequence of i.i.d. random vectors with zero
mean and finite covariance matrix. The aim of this paper is to...
Hölderian invariance principle for linear processes
invariance principle linear processes short memory long memory Wiener measure
2009/6/15
Hölderian invariance principle for linear processes.
Invariance principles for linear processes Application to isotonic regression
linear processes moment inequalities generalizations of martingales invariance principles fractional Brownian motion isotonic regression
2010/3/18
In this paper we prove maximal inequalities and study the functional central
limit theorem for the partial sums of linear processes generated by dependent
innovations. Due to the general weights the...
Linear processes on functional spaces were born about fifteen years ago.
And this original topic went through the same fast development as the other
areas of functional data modeling such as PCA or ...