We establish a functional central limit theorem for the empirical process of bivariate stationary long range dependent sequences under Gaussian subordination conditions. The proof is based upon a convergence result for cross-products of Hermite polynomials and a multivariate uniform reduction principle, as in Dehling and Taqqu [Ann. Statist. 17 (1989), 1767-1783] for the univariate case. The effect of estimated parameters is also discussed.

Marinucci, D. (2005). The empirical process for bivariate sequences with long memory. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 8(2), 205-223 [10.1007/s11203-004-2790-9].

The empirical process for bivariate sequences with long memory

MARINUCCI, DOMENICO
2005-01-01

Abstract

We establish a functional central limit theorem for the empirical process of bivariate stationary long range dependent sequences under Gaussian subordination conditions. The proof is based upon a convergence result for cross-products of Hermite polynomials and a multivariate uniform reduction principle, as in Dehling and Taqqu [Ann. Statist. 17 (1989), 1767-1783] for the univariate case. The effect of estimated parameters is also discussed.
2005
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - PROBABILITA' E STATISTICA MATEMATICA
English
Empirical process; Functional central limit theorem; Long range dependence
Marinucci, D. (2005). The empirical process for bivariate sequences with long memory. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 8(2), 205-223 [10.1007/s11203-004-2790-9].
Marinucci, D
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/37014
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