51 citations · 182 across the 29 of their papers we have counts for
17 papers · 1 filter
Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
Vytautė Pilipauskaitė, Viktor Skorniakov, Donatas Surgailis
We discuss joint temporal and contemporaneous aggregation of independent copies of random-coefficient AR(1) process driven by i.i.d. innovations in the domain of normal attract…
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…
Quasi-MLE for quadratic ARCH model with long memory
Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis
We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with con…
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…
A nonlinear model for long memory conditional heteroscedasticity
Paul Doukhan, Ieva Grublytė, Donatas Surgailis
We discuss a class of conditionally heteroscedastic time series models satisfying the equation , where are standardized i.i.d. r.v.'s and the conditional standa…
Scaling transition for long-range dependent Gaussian random fields
Donata Puplinskaite, Donatas Surgailis
In Puplinskaite and Surgailis (2014) we introduced the notion of scaling transition for stationary random fields on in terms of partial sums limits, or scaling l…
Projective stochastic equations and nonlinear long memory
Ieva Grublytė, Donatas Surgailis
A projective moving average is a Bernoulli shift written as a backward martingale transform of the innovation sequence. We introduce a new class of nonl…
Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
Vytaute Pilipauskaite, Donatas Surgailis
We discuss joint temporal and contemporaneous aggregation of independent copies of AR(1) process with random-coefficient when and time scale increase at d…
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…
Aggregation of autoregressive random fields and anisotropic long-range dependence
Donata Puplinskaitė, Donatas Surgailis
We introduce the notions of scaling transition and distributional long-range dependence for stationary random fields on whose normalized partial sums on rectang…
Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
Anne Philippe, Donata Puplinskaite, Donatas Surgailis
We discuss contemporaneous aggregation of independent copies of a triangular array of random-coefficient AR(1) processes with i.i.d. innovations belonging to the domain of attracti…
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…
Moment bounds and central limit theorems for Gaussian subordinated arrays
Jean-Marc Bardet, Donatas Surgailis
A general moment bound for sums of products of Gaussian vector's functions extending the moment bound in Taqqu (1977, Lemma 4.5) is established. A general central limit theorem for…
Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
Jean-Marc Bardet, Donatas Surgailis
A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the poin…
A two-sample test for comparison of long memory parameters
Frédéric Lavancier, Anne Philippe, Donatas Surgailis
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A.,…
Measuring the roughness of random paths by increment ratios
Jean-Marc Bardet, Donatas Surgailis
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantag…