81 citations · 495 across the 57 of their papers we have counts for
16 papers · 1 filter
Sensivity of the Hermite rank
Shuyang Bai, Murad s. Taqqu
The Hermite rank appears in limit theorems involving long memory. We show that an Hermite rank higher than one is unstable when the data is slightly perturbed by transformations su…
How the instability of ranks under long memory affects large-sample inference
Shuyang Bai, Murad S. Taqqu
Under long memory, the limit theorems for normalized sums of random variables typically involve a positive integer called "Hermite rank". There is a different limit for each Hermit…
A unified approach to self-normalized block sampling
Shuyang Bai, Murad S. Taqqu, Ting Zhang
The inference procedure for the mean of a stationary time series is usually quite different under various model assumptions because the partial sum process behaves differently depe…
On the validity of resampling methods under long memory
Shuyang Bai, Murad S. Taqqu
For long-memory time series, inference based on resampling is of crucial importance, since the asymptotic distribution can often be non-Gaussian and is difficult to determine stati…
Rosenblatt distribution subordinated to gaussian random fields with long-range dependence
N. N. Leonenko, M. D. Ruiz-Medina, M. S. Taqqu
The Karhunen-Loève expansion and the Fredholm determinant formula are used to derive an asymptotic Rosenblatt-type distribution of a sequence of integrals of quadratic functions of…
Properties and numerical evaluation of the Rosenblatt distribution
Mark S. Veillette, Murad S. Taqqu
This paper studies various distributional properties of the Rosenblatt distribution. We begin by describing a technique for computing the cumulants. We then study the expansion of…