Search Results - subject:"linear process"

OLS limit theory for drifting sequences of parameters on the explosive side of unity

Magdalinos, Tassos; Petrova, Katerina - 2024

A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn Ç ρ ∈ (-É, -1] ∪ [1, É) and n (

Persistent link: https://www.econbiz.de/10015054281

OLS limit theory for drifting sequences of parameters on the explosive side of unity

Magdalinos, Tassos; Petrova, Katerina - 2024

and for the primitive innovations of the linear process, which are allowed to be heteroskedastic L1-mixingales. The paper …) → ∞. Drifting sequences of innovations and initial conditions are also considered. A standard specification of a short memory linear … process for the autoregressive innovations is extended to a triangular array formulation both for the deterministic weights …

Persistent link: https://www.econbiz.de/10015051928

Shannon entropy estimation for linear processes

Fortune, Timothy; Sang, Hailin - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-13

In this paper, we estimate the Shannon entropy S(f)=-E[log(f(x))] of a one-sided linear process with probability …

Persistent link: https://www.econbiz.de/10012611430

Shannon entropy estimation for linear processes

Fortune, Timothy; Sang, Hailin - In: Journal of risk and financial management : JRFM 13 (2020) 9/205, pp. 1-13

In this paper, we estimate the Shannon entropy S(f)=-E[log(f(x))] of a one-sided linear process with probability …

Persistent link: https://www.econbiz.de/10012384577

Estimation and testing for high- dimensional near unit root time series

Zhang, Bo; Gao, Jiti; Pan, Guangming - 2020

Persistent link: https://www.econbiz.de/10012606951

A near unit root test for high-dimensional nonstationary time series

Zhang, Bo; Gao, Jiti; Pan, Guangming - 2019

Persistent link: https://www.econbiz.de/10012592727

CLT for largest eigenvalues and unit root tests for high-dimensional nonstationary time series

Zhang, Bo; Pan, Guangming; Gao, Jiti - 2016

Persistent link: https://www.econbiz.de/10011781720

Estimation of spatial autoregressions with stochastic weight matrices

Gupta, Abhimanyu - 2015

Persistent link: https://www.econbiz.de/10011393188

Weak Convergence to Stochastic Integrals for Econometric Applications

Liang, Hanying; Phillips, Peter C.B.; Wang, Hanchao; … - Cowles Foundation for Research in Economics, Yale University - 2014

asymptotic development and we provide limit results for such covariances when linear process, long memory, and mixing variates …

Persistent link: https://www.econbiz.de/10011096424

On uniqueness of moving average representations of heavy-tailed stationary processes

Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...

Persistent link: https://www.econbiz.de/10011107938