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Publications

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Giraitis L, Surgailis D.  2002.  Reduction principle for long memory sequences. Empirical Process Techniques for Dependent Data. :241-255.
Giraitis L, Leipus R, Phillipe A.  2006.  A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory. 22(6):989-1029.
Giraitis L, Kokoszka P, Leipus R.  2000.  Stationary ARCH models: dependence structure and Central Limit Theorem. Econometric Theory. 16:3-22.
Giraitis L, Leipus R, Robinson PM, Surgailis D.  2004.  LARCH, Leverage and Long Memory. Journal of Financial Econometrics. 2:177-210.
Giraitis L, Robinson PM.  2003.  Estimation under long range dependence. Long Range Dependence: Theory and Applications.
Giraitis L, Robinson PM, Samarov A.  2000.  Adaptive rate-optimal semiparametric estimation of the long memory parameter. Journal of Multivariate analysis. 72:183-207.
Giraitis L, Surgailis D.  1999.  Central Limit Theorem for the Empirical Process. Journal of Statistical Planning and Inference. 80:81-93.
Giraitis L, Robinson PM, Samarov A.  1997.  Rate optimal semiparameter of the Gaussian time series with long range dependence. Journal of Time Series Analysis. 18:49-60.
Giraitis L, Taqqu MS.  1999.  Whittle estimator for non-Gaussian long-memory time series. Annals of Statistics. 27:178-203.
Giraitis L, Leipus R, Surgailis D.  2005.  Recent advances in ARCH modelling. Long Memory in Economics.
Giraitis L, Taqqu MS.  1999.  Convergence of normalized quadratic forms. Journal of Statistical Planning and Inference. 80:15-35.
Giraitis L, Taqqu MS.  1998.  Central limit theorem for quadratic forms with time domain conditions. The Annals of Probability. 26:377-398.
Giraitis L, Phillips PCB.  2006.  Uniform Limit Theory for Stationary Autoregression. Journal of Times Series Analysis. 27(1):51-60.
Giraitis L, Robinson PM, Surgailis D.  2000.  A model for long memory conditional Heteroscedasticity. Annals of Applied Probability. 10:1002-1024.
Giraitis L, Kokoszka P, Leipus R, Teyssiere G.  2003.  On the power of R/S-type tests fort stationarity against contiguous and semi long memory alternatives. Acta Applicandae Mathematicae. 78:285-299.
Giraitis L, Koul H.  1997.  Estimation of the dependence parameter in linear regression. Stochastic Processes and their Applications. 71:207-224.
Giraitis L, Robinson PM.  2001.  Whittle estimation of ARCH models. Econometric Theory. 17:608-631.
Giraitis L, Robinson PM.  2003.  Edgeworth expansions for semiparametric Whittle estimation of long memory. Annals of Statistics. 31:1325-1375.
Giraitis L, Taqqu MS.  1997.  Limit theorems for bivariate Appell polynomials Part 1 Central Limit Theorems. Probability Theory and Related Fields. 107:359-381.
Giraitis L, Kokoszka P, Leipus R.  2001.  Testing for long memory in the presence of a general trend. Journal of Applied Probability. 38 No 4
Giraitis L, Kokoszka P, Leipus R, Teyssiere G.  2000.  Semiparametric estimation of the intensity of long memory in conditional Heteroskedasticity. Statistical Inference for Stochastic Processes. 3:113-128.
Giraitis L, Surgailis D.  2002.  ARCH-type bilinear models with double long memory. Stochastic Processes and their applications. 100:275-300.
Giraitis L, Kokoszka P, Leipus R, Teyssiere G.  2003.  Rescaled variance and related tests for long memory in volatility and levels. Journal of Econometrics. 112:265-294.
Giraitis L, Taqqu MS.  2001.  Functional non-central and central limit theorems for bivariate Appell polynomials. Journal of Theoretical Probablity. 14:293-426.
Giraitis L, Hidalgo J, Robinson PM.  2001.  Gaussian estimation of parametric spectral density with unknown pole. Annals of Statistics. 29:987-1023.

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