20 citations · 43 across the 9 of their papers we have counts for
8 papers · 1 filter
Asymptotic normality in linear regression with approximately sparse structure
Saulius Jokubaitis, Remigijus Leipus
In this paper we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS struct…
Sample covariances of random-coefficient AR(1) panel model
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
The present paper obtains a complete description of the limit distributions of sample covariances in N x n panel data when N and n jointly increase, possibly at different rate. The…
Estimating long memory in panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
It is well-known that random-coefficient AR(1) process can have long memory depending on the index of the tail distribution function of the random coefficient, if it is a regul…
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė +1
We discuss nonparametric estimation of the distribution function of the autoregressive coefficient from a panel of random-coefficient AR(1) data, each of…
Aggregation and long memory: recent developments
Remigijus Leipus, Anne Philippe, Donata Puplinskaite +1
It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregat…
Detection of non-constant long memory parameter
Frédéric Lavancier, Remigijus Leipus, Anne Philippe +1
This article deals with detection of nonconstant long memory parameter in time series. The null hypothesis presumes stationary or nonstationary time series with constant long memor…
Asymptotic normality of the mixture density estimator in a disaggregation scheme
Dmitrij Celov, Remigijus Leipus, Anne Philippe
The paper concerns the asymptotic distribution of the mixture density estimator, proposed by Oppenheim et al 2006, in the aggregation/disaggregation problem of random parameter AR(…
Time series aggregation, disaggregation and long memory
Dmitrij Celov, Remigijus Leipus, Anne Philippe
We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggr…