On the empirical process of tempered moving averages

On the empirical process of tempered moving averages

We consider asymptotic properties of the empirical process of tempered moving average with memory parameter d∈[0,1∕2) and tempering parameter λN→0, centered by the marginal distribution function of the corresponding untempered stationary process. We prove that under long memory (0

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Veröffentlicht in:Statistics & probability letters 2020-12, Vol.167, p.108902, Article 108902
Hauptverfasser: Beran, Jan, Sabzikar, Farzad, Surgailis, Donatas, Telkmann, Klaus
Format: Artikel
Sprache:eng
Schlagworte:
Empirical process
Long memory
Tempered linear process
Uniform reduction principle
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Zusammenfassung:We consider asymptotic properties of the empirical process of tempered moving average with memory parameter d∈[0,1∕2) and tempering parameter λN→0, centered by the marginal distribution function of the corresponding untempered stationary process. We prove that under long memory (0
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2020.108902