51 citations · 182 across the 29 of their papers we have counts for
5 papers · 1 filter
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…