Asymptotics for statistical functionals of long-memory sequences

E.A. Beutner; W. Wu; H. Zähle

doi:10.1016/j.spa.2011.10.006

Asymptotics for statistical functionals of long-memory sequences

E.A. Beutner, W. Wu, H. Zähle

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

6 Citations (Scopus)

Abstract

We present two general results that can be used to obtain asymptotic properties for statistical functionals based on linear long-memory sequences. As examples for the first one we consider l- and v-statistics, in particular tail-dependent l-statistics as well as v-statistics with unbounded kernels. As an example for the second result we consider degenerate v-statistics. To prove these results we also establish a weak convergence result for empirical processes of linear long-memory sequences, which improves earlier ones.

Original language	English
Pages (from-to)	910-929
Journal	Stochastic Processes and Their Applications
Volume	122
Issue number	3
DOIs	https://doi.org/10.1016/j.spa.2011.10.006
Publication status	Published - 1 Jan 2012

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10.1016/j.spa.2011.10.006

Cite this

Beutner, E. A., Wu, W., & Zähle, H. (2012). Asymptotics for statistical functionals of long-memory sequences. Stochastic Processes and Their Applications, 122(3), 910-929. https://doi.org/10.1016/j.spa.2011.10.006

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