Filters: Author is Giraitis, Liudas [Clear All Filters]
Adaptive rate-optimal semiparametric estimation of the long memory parameter. Journal of Multivariate analysis. 72:183-207.. 2000.
Approximations and limit theory for quadratic forms of linear processes. Journal of Stochastic Processes and their Applications. 117(1):71-95.. 2007.
ARCH-type bilinear models with double long memory. Stochastic Processes and their applications. 100:275-300.. 2002.
Central limit theorem for quadratic forms with time domain conditions. The Annals of Probability. 26:377-398.. 1998.
Central Limit Theorem for the Empirical Process. Journal of Statistical Planning and Inference. 80:81-93.. 1999.
Consistent estimation of the memory parameter for nonlinear time series. Journal of Times Series Analysis. 27(2):211-251.. 2006.
Convergence of normalized quadratic forms. Journal of Statistical Planning and Inference. 80:15-35.. 1999.
Edgeworth expansions for semiparametric Whittle estimation of long memory. Annals of Statistics. 31:1325-1375.. 2003.
Estimation of the dependence parameter in linear regression. Stochastic Processes and their Applications. 71:207-224.. 1997.
Estimation of the memory parameter by fitting fractionally differenced autoregressive models. Journal of Multivariate analysis. 97(10):2101-2130.. 2006.
Estimation under long range dependence. Long Range Dependence: Theory and Applications.. 2003.
Functional non-central and central limit theorems for bivariate Appell polynomials. Journal of Theoretical Probablity. 14:293-426.. 2001.
Gaussian estimation of parametric spectral density with unknown pole. Annals of Statistics. 29:987-1023.. 2001.
LARCH, Leverage and Long Memory. Journal of Financial Econometrics. 2:177-210.. 2004.
Limit theorems for bivariate Appell polynomials Part 1 Central Limit Theorems. Probability Theory and Related Fields. 107:359-381.. 1997.
Limit theorems for bivariate Appell polynomials Part II Non-Central Limit Theorems. Probability Theory and Related Fields. 110:333-367.. 1998.
A model for long memory conditional Heteroscedasticity. Annals of Applied Probability. 10:1002-1024.. 2000.
Nonstationarity-extended local Whittle estimation. Journal of Econometrics. 141(2):1353-1384.. 2007.
On the optimal segment length for parameter estimates for locally stationary time-series. Journal of Time Series Analysis. 19:629-635.. 1998.
On the power of R/S-type tests fort stationarity against contiguous and semi long memory alternatives. Acta Applicandae Mathematicae. 78:285-299.. 2003.
Rate optimal semiparameter of the Gaussian time series with long range dependence. Journal of Time Series Analysis. 18:49-60.. 1997.
Recent advances in ARCH modelling. Long Memory in Economics.. 2005.
Reduction principle for long memory sequences. Empirical Process Techniques for Dependent Data. :241-255.. 2002.
Rescaled variance and related tests for long memory in volatility and levels. Journal of Econometrics. 112:265-294.. 2003.
Semiparametric estimation and inference for trending I(d) and related processes. submitted to the Annals of Statistics.. 2007.
Department of Mathematics, University of York, Heslington, York, UK. YO10 5DD