51 citations · 182 across the 29 of their papers we have counts for
4 papers · 1 filter
Anisotropic scaling of random grain model with application to network traffic
Vytautė Pilipauskaitė, Donatas Surgailis
We obtain a complete description of anisotropic scaling limits of random grain model on the plane with heavy tailed grain area distribution. The scaling limits have either independ…
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…