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Keyword: gaussian process;
4 results found.
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Sokbae Lee, Oliver Linton and Yoon-Jae Whang
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution i...Read more...
We consider the estimation of the location of the pole and memory parameter, ?<sup>0</sup> and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?<sup>0...Read more...
Peter M Robinson
A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autovariances of time series generated by nonlinear transformation of Gaussian latent variates, and no...Read more...
A multivariate invariance principle is given for dependent processes exhibiting trending variances and other types of global nonstationarity. The limit processes obtained in these results are not Brownian motion, but mem...Read more...