Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
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DOI: 10.1016/j.spa.2015.10.010
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References listed on IDEAS
- Bai, Shuyang & Ginovyan, Mamikon S. & Taqqu, Murad S., 2015. "Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 58-67.
- Pipiras, Vladas & Taqqu, Murad S., 2010. "Regularization and integral representations of Hermite processes," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 2014-2023, December.
- P. Brockwell, 2001. "Lévy-Driven Carma Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 113-124, March.
- P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
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Cited by:
- A. V. Ivanov & N. N. Leonenko & I. V. Orlovskyi, 2020. "On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 129-169, April.
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Keywords
Toeplitz type quadratic functional; Lévy process; Brownian motion; Central and non-central limit theorems; Long memory; Teugels martingale; Wiener–Itô integral;All these keywords.
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