182 citations · 508 across the 28 of their papers we have counts for
5 papers · 1 filter
On the asymptotic normality of kernel estimators of the long run covariance of functional time series
István Berkes, Lajos Horváth, Gregory Rice
We consider the asymptotic normality in of kernel estimators of the long run covariance kernel of stationary functional time series. Our results are established assuming a we…
Asymptotics of trimmed CUSUM statistics
István Berkes, Lajos Horváth, Johannes Schauer
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the…
Selection from a stable box
Alexander Aue, István Berkes, Lajos Horváth
Let be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly…
On discriminating between long-range dependence and changes in mean
István Berkes, Lajos Horváth, Piotr Kokoszka +1
We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case…
The efficiency of the estimators of the parameters in GARCH processes
István Berkes, Lajos Horváth
We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-…