97 citations · 408 across the 20 of their papers we have counts for
26 papers
Asymptotics of time-varying processes in continuous-time using locally stationary approximations
Robert Stelzer, Bennet Ströh
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use -weak dependence to es…
Continuous-time locally stationary time series models
Annemarie Bitter, Robert Stelzer, Bennet Ströh
We adapt the classical definition of locally stationary processes in discrete-time to the continuous-time setting and obtain equivalent representations in the time and frequency do…
Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
Imma Valentina Curato, Robert Stelzer, Bennet Ströh
We obtain central limit theorems for stationary random fields employing a novel measure of dependence called -lex weak dependence. We show that this dependence notion is more ge…
Inheritance of strong mixing and weak dependence under renewal sampling
Dirk-Philip Brandes, Imma Valentina Curato, Robert Stelzer
Let be a continuous-time strongly mixing or weakly dependent process and a renewal process independent of with inter-arrival times . We show general conditions under…
Moment based estimation for the multivariate COGARCH(1,1) process
Thiago do Rêgo Sousa, Robert Stelzer
For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this,…
Geometric Ergodicity of Affine Processes on Cones
Eberhard Mayerhofer, Robert Stelzer, Johanna Vestweber
For affine processes on finite-dimensional cones, we give criteria for geometric ergodicity - that is exponentially fast convergence to a unique stationary distribution. Ergodic re…