Almost sure convergence of the Bartlett estimator

Periodica Mathematica Hungarica

Volumn 51, Issue 1, 2005, Pages 11-25

  Berkes, István ^a,b,c   Horváth, Lajos ^a,d   Kokoszka, Piotr ^a,e   Shao, Qi Man ^a,f,g  

^a Graz University of Technology ^*

^b GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

^c INSTITUTE OF EXPERIMENTAL MEDICINE   (Hungary)

^d UNIVERSITY OF UTAH   (United States)

^e UTAH STATE UNIVERSITY   (United States)

^f UNIVERSITY OF OREGON   (United States)

^g NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Cumulants; Increments of partial sums; Long range dependence; Variance of the mean; Weak dependence

Indexed keywords

EID: 30844456198     PISSN: 00315303     EISSN: 15882829     Source Type: Journal    
DOI: 10.1007/s10998-005-0017-5     Document Type: Article

References (6)

1. I. BERKES, L. HORVÁTH, P. KOKOSZKA and Q-M. SHAO, On discriminating between long-range dependence and changes in mean, Technical Report, Utah State University, 2003.
2. P. BILLINGSLEY, Convergence of probability measures, Wiley, New York, 1968.
3. L. GIRAITIS, P. S. KOKOSZKA, R. LEIPUS and G. TEYSSIÈRE, Rescaled variance and related tests for long memory in volatility and levels, Journal of Econometrics 112 (2003), 265-294.
4. A. W. LO, Long-term memory in stock market prices, Econometrica 59 (1991), 1279-1313.
5. F. A. MÓRICZ, R. J. SERFLING and W. F. STOUT, Moment and probability bounds with quasi-superadditive structure for the maximum partial sums, Ann. Probab. 4 (1982), 1032-1040.
6. W. F. STOUT, Almost sure convergence, Academic Press, New York, 1974.