68 citations · 169 across the 6 of their papers we have counts for
6 papers
Central limit theorems for long range dependent spatial linear processes
S. N. Lahiri, Peter M. Robinson
Central limit theorems are established for the sum, over a spatial region, of observations from a linear process on a -dimensional lattice. This region need not be rectangular,…
Identifying Cointegration by Eigenanalysis
Rongmao Zhang, Peter Robinson, Qiwei Yao
We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain non-negative definite mat…
Inference on power law spatial trends
Peter M. Robinson
Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space o…
Gaussian pseudo-maximum likelihood estimation of fractional time series models
Javier Hualde, Peter M. Robinson
We consider the estimation of parametric fractional time series models in which not only is the memory parameter unknown, but one may not know whether it lies in the stationary/inv…
Pseudo-maximum likelihood estimation of ARCH models
Peter M. Robinson, Paolo Zaffaroni
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH processes are established. The co…
Efficiency improvements in inference on stationary and nonstationary fractional time series
P. M. Robinson
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, a…