Some linear models of time series with nonstationary long memory

Some linear models of time series with nonstationary long memory

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In the thesis is studied the limit distribution of partial sums of certain linear time series models with nonstationary long memory and certain statistics which involve partial sums processes. Philippe, Surgailis, Viano (2006, 2008) introduced time-varying fractionally integrated filters and studied...

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Bibliographic Details
Main Author: Bružaitė, Kristina
Other Authors: Surgailis, Donatas
Format: Doctoral Thesis
Language:English
Published: Lithuanian Academic Libraries Network (LABT) 2009
Subjects:
Mathematics
Time series
Long memory
Long-range dependence
Time-varying fractionally integrated filters
Increment Ratio (IR) statistic
Laiko eilutė
Ilgoji atmintis
Tolimoji priklausomybė
Kintantys laike trupmeniškai integruoti filtrai
Pokyčių santykių (IR) statistika
Online Access:http://vddb.library.lt/fedora/get/LT-eLABa-0001:E.02~2009~D_20090312_091000-74094/DS.005.1.01.ETD

Internet

http://vddb.library.lt/fedora/get/LT-eLABa-0001:E.02~2009~D_20090312_091000-74094/DS.005.1.01.ETD

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