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Covariance function of vector self-similar processes

Statistics & probability letters, 2009-12, Vol.79 (23), p.2415-2421

2009

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Nonhomogeneous fractional integration and multifractional processes

Stochastic processes and their applications, 2008-02, Vol.118 (2), p.171-198

Surgailis, Donatas

2008

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Goodness-of-fit testing under long memory

Journal of statistical planning and inference, 2010-12, Vol.140 (12), p.3742-3753

2010

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Stable limits of empirical processes of moving averages with infinite variance

Stochastic processes and their applications, 2002-07, Vol.100 (1), p.255-274

Surgailis, Donatas

2002

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On Long-Range Dependence in Regenerative Processes Based on a General ON/OFF Scheme

Journal of applied probability, 2007-06, Vol.44 (2), p.379-392, Article 379

2007

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Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design

Journal of statistical planning and inference, 2009-08, Vol.139 (8), p.2715-2730

2009

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ARCH-type bilinear models with double long memory

Stochastic processes and their applications, 2002-07, Vol.100 (1), p.275-300

2002

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The increment ratio statistic

Journal of multivariate analysis, 2008, Vol.99 (3), p.710-741

2008

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Renewal regime switching and stable limit laws

Journal of econometrics, 2005-11, Vol.129 (1), p.299-327

2005

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On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise

Journal of applied probability, 2006-06, Vol.43 (2), p.421-440, Article 421

2006

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Central limit theorem for the empirical process of a linear sequence with long memory

Journal of statistical planning and inference, 1999-08, Vol.80 (1), p.81-93

1999

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Asymptotics of M-estimators in two-phase linear regression models

Stochastic processes and their applications, 2003, Vol.103 (1), p.123-154

2003

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Invariance principle for a class of non stationary processes with long memory

Comptes rendus. Mathématique, 2006-02, Vol.342 (4), p.269-274

2006

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Asymptotics of empirical processes of long memory moving averages with infinite variance

Stochastic processes and their applications, 2001-02, Vol.91 (2), p.309-336

2001

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Asymptotic Expansion of M-Estimators with Long-Memory Errors

The Annals of statistics, 1997-04, Vol.25 (2), p.818-850

1997

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Second-order behavior of M-estimators in linear regression with long-memory errors

Journal of statistical planning and inference, 2000-12, Vol.91 (2), p.399-412

2000

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Stratified structure of the Universe and Burgers' equation : a probabilistic approach

Probability theory and related fields, 1994-12, Vol.100 (4), p.457-484

1994

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The change-point problem for dependent observations

Journal of statistical planning and inference, 1996-08, Vol.53 (3), p.297-310

1996

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Variance-type estimation of long memory

Stochastic processes and their applications, 1999-03, Vol.80 (1), p.1-24

1999

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Asymptotic normality of the Whittle estimator in linear regression models with long memory errors

Statistical inference for stochastic processes, 2000, Vol.3 (1-2), p.129-147

2000

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Stable mixed moving averages

Probability theory and related fields, 1993-12, Vol.97 (4), p.543-558

1993

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Functional central limit theorem for the empirical process of short memory linear processes

Comptes rendus de l'Académie des sciences. Série I. Mathématique, 1998, Vol.326 (1), p.87-92

1998

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Covariance function of vector self-similar processes

Nonhomogeneous fractional integration and multifractional processes

Goodness-of-fit testing under long memory

Stable limits of empirical processes of moving averages with infinite variance

On Long-Range Dependence in Regenerative Processes Based on a General ON/OFF Scheme

Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design

ARCH-type bilinear models with double long memory

The increment ratio statistic

Renewal regime switching and stable limit laws

On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise

Central limit theorem for the empirical process of a linear sequence with long memory

Asymptotics of M-estimators in two-phase linear regression models

Invariance principle for a class of non stationary processes with long memory

Asymptotics of empirical processes of long memory moving averages with infinite variance

Asymptotic Expansion of M-Estimators with Long-Memory Errors

Second-order behavior of M-estimators in linear regression with long-memory errors

Stratified structure of the Universe and Burgers' equation : a probabilistic approach

The change-point problem for dependent observations

Variance-type estimation of long memory

Asymptotic normality of the Whittle estimator in linear regression models with long memory errors

Stable mixed moving averages

Functional central limit theorem for the empirical process of short memory linear processes

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