Measuring the roughness of random paths by increment ratios (2010)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this...
Measuring the roughness of random paths by increment ratios (2010)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this...
Test de comparaison du paramètre de longue mémoire (2010)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
Nous proposons un test pour comparer le paramètre de longue mémoire de deux processus éventuellement corrélés. Le test est construit à partir de la statistique V/S basée sur deux estimations...
Test de comparaison du paramètre de longue mémoire (2010)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
Nous proposons un test pour comparer le paramètre de longue mémoire de deux processus éventuellement corrélés. Le test est construit à partir de la statistique V/S basée sur deux estimations...
The Discrete and Continuum Broken Line Process (2009)
Rolla, Leonardo T., Sidoravicius, Vladas, Surgailis, Donatas, Vares, Maria E.
In this work we introduce the discrete-space broken line process (with discrete and continues parameter values) and derive some of its properties. We explore polygonal Markov fields techniques...
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
A two-sample test for comparison of long memory parameters (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for...
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Covariance function of vector self-similar process (2009)
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Measuring the roughness of random paths by increment ratios (2008)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this...
Measuring the roughness of random paths by increment ratios (2008)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios is defined and studied for measuring the roughness of random paths. Its asymptotic properties are related to an eventual tangent process. The case of rough...
Measuring the roughness of random paths by increment ratios (2008)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios is defined and studied for measuring the roughness of random paths. Its asymptotic properties are related to an eventual tangent process. The case of rough...
Measuring the roughness of random paths by increment ratios (2008)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios (IR) is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are invariance with respect to smooth additive or...
Measuring the roughness of random paths by increment ratios (2008)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios (IR) is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are invariance with respect to smooth additive or...
Measuring the roughness of random paths by increment ratios (2008)
Bardet, Jean-Marc, Surgailis, Donatas
A statistic based on increment ratios (IR) is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are invariance with respect to smooth additive or...
Alan Kirman, Gilles Teyssi, To Raj Bhansali, Russell Davidson, Liudas Giraitis, Clive Granger, ...
We are greatly indebted to Hans Follmer with whom the stochastic process used in this paper has been
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas
Philippe et al. (2005, 2006) introduced time-varying mutually invertable fractionally integrated filters $ A({\bf d}), B({\bf d}) $ depending on an arbitrary sequence ${\bf d} = (d_t, t \in {\Z}) $...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas
Philippe et al. (2005, 2006) introduced time-varying mutually invertable fractionally integrated filters $ A({\bf d}), B({\bf d}) $ depending on an arbitrary sequence ${\bf d} = (d_t, t \in {\Z}) $...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas
Philippe et al. (2005, 2006) introduced time-varying mutually invertable fractionally integrated filters $ A({\bf d}), B({\bf d}) $ depending on an arbitrary sequence ${\bf d} = (d_t, t \in {\Z}) $...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas
Philippe et al. (2005, 2006) introduced time-varying mutually invertable fractionally integrated filters $ A({\bf d}), B({\bf d}) $ depending on an arbitrary sequence ${\bf d} = (d_t, t \in {\Z}) $...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas
Philippe et al. (2005, 2006) introduced time-varying mutually invertable fractionally integrated filters $ A({\bf d}), B({\bf d}) $ depending on an arbitrary sequence ${\bf d} = (d_t, t \in {\Z}) $...
Leipus, Remigijus, Paulauskas, Vygantas, Surgailis, Donatas
We discuss the limit behavior of the partial sums process of stationary solutions to the (autoregressive) AR(1) equation Xt = at Xt-1 + εt with random (renewal-reward) coefficient, at, taking...
The increment ratio statistic (2006)
Surgailis, Donatas, Gilles Teyssière, Gilles, Vaiciulis, Marijus
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas, Viano, Marie Claude
We prove a functional central limit theorem for the empirical process of a stationary process $X_t = Y_t + V_t$, where $Y_t$ is a long memory moving average in i.i.d. r.v.'s $\zeta_s, s\le t $, and...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas, Viano, Marie Claude
We prove a functional central limit theorem for the empirical process of a stationary process $X_t = Y_t + V_t$, where $Y_t$ is a long memory moving average in i.i.d. r.v.'s $\zeta_s, s\le t $, and...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas, Viano, Marie Claude
We prove a functional central limit theorem for the empirical process of a stationary process $X_t = Y_t + V_t$, where $Y_t$ is a long memory moving average in i.i.d. r.v.'s $\zeta_s, s\le t $, and...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas, Viano, Marie Claude
We prove a functional central limit theorem for the empirical process of a stationary process $X_t = Y_t + V_t$, where $Y_t$ is a long memory moving average in i.i.d. r.v.'s $\zeta_s, s\le t $, and...
Doukhan, Paul, Lang, Gabriel, Surgailis, Donatas, Viano, Marie Claude
We prove a functional central limit theorem for the empirical process of a stationary process $X_t = Y_t + V_t$, where $Y_t$ is a long memory moving average in i.i.d. r.v.'s $\zeta_s, s\le t $, and...
We discuss limit distributions of partial sums of bounded functions h of a long-memory moving-average process Xt= ∑j=1 ∞ bj ζt-j with coefficients bj decaying as j-β, 1/2< β< 1, and...
LARCH, leverage, and long memory (2004)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
LARCH, leverage, and long memory (2004)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
LARCH, leverage, and long memory (2004)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
LARCH, Leverage, and Long Memory (2004)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
We consider the long-memory and leverage properties of a model for the conditional variance Vt2 of an observable stationary sequence Xt, where Vt2 is the square of an inhomogeneous linear combination...
LARCH, leverage and long memory (2003)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous...
LARCH, leverage and long memory (2003)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous...
Random coefficient autoregression, regime switching and long memory (2003)
Leipus, Remigijus, Surgailis, Donatas
We discuss long-memory properties and the partial sums process of the AR(1) process {Xt, t∈Z} with random coefficient {at, t∈Z} taking independent values Aj∈[0,1] on consecutive intervals of a...
LARCH, leverage and long memory (2003)
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter, Surgailis, Donatas
A model for long memory conditional heteroscedasticity (2000)
Giraitis, Liudas, Robinson, Peter M., Surgailis, Donatas
or a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence $r_t$ is the square of an inhomogeneous linear combination of...
Long-range dependence and Appell rank (2000)
We study limit distributions of sums $S_N^{(G)} = \sum_{t=1}^N G(X_t)$ of nonlinear functions $G(x)$ in stationary variables of the form $X_t = Y_t + Z_t$, where ${Y_t}$ is a linear (moving average)...
Central limit theorem for the empirical process (1999)
Giraitis, Liudas, Surgailis, Donatas
We discuss the functional central limit theorem (FCLT) for the empirical process of a moving-average stationary sequence with long memory. The cases of one-sided and double-sided moving averages are...
Asymptotic expansion of M-estimators with long-memory errors (1997)
Koul, Hira L., Surgailis, Donatas
This paper obtains a higher-order asymptotic expansion of a class of M-estimators of the one-sample location parameter when the errors form a long-memory moving average. A suitably standardized...
Regression Model Fitting with a Long Memory Covariate Process.
Koul, Hira L, Baillie, Richard T, Surgailis, Donatas
This paper proposes some tests for fitting a regression model with a long memory covariate process and with errors that form either a martingale difference sequence or a long memory moving average...
Liudas Giraitis, Peter M Robinson, Donatas Surgailis
Long-range dependence, semiparametric model, rates of convergence, adaptive bandwidth selection.
LARCH, Leverage and Long Memory
Liudas Giraitis, Remigijus Leipus, Peter M Robinson, Donatas Surgailis
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous...
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
Koul, Hira L., Baillie, Richard T., Surgailis, Donatas
This paper proposes some tests for fitting a regression model with a long memory covariate process and with errors that form either a martingale difference sequence or a long memory moving average...
Asymptotic Normality of the Whittle Estimator in Linear Regression Models with Long Memory Errors
Moving average long memory errors, i.i.d. and long memory designs, unbounded spectral density,
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
Koul, Hira L., Baillie, Richard T., Surgailis, Donatas
This paper proposes some tests for fitting a regression model with a long memory covariate process and with errors that form either a martingale difference sequence or a long memory moving average...
Asymptotic normality of regression estimators with long memory errors
Giraitis, Liudas, Koul, Hira L., Surgailis, Donatas
This paper discusses asymptotic normality of certain classes of M- and R-estimators of the slope parameter vector in linear regression models with long memory moving average errors, extending recent...
Surgailis, Donatas, Teyssière, Gilles, Vaiciulis, Marijus
We introduce a new statistic written as a sum of certain ratios of second-order increments of partial sums process of observations, which we call the increment ratio (IR) statistic. The IR statistic...
Covariance function of vector self-similar processes
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motions with correlated components having different self-similarity indices.
LARCH, leverage, and long memory .
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas
AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
Giraitis, Liudas, Leipus, Remigijus, Surgailis, Donatas
The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and...