Heavy Tails, Long-Range Dependence, and Beyond / Queues lourdes, dépendance de long terme et au-delà

Collection Heavy Tails, Long-Range Dependence, and Beyond / Queues lourdes, dépendance de long terme et au-delà

Organisateur(s) Biermé, Hermine ; Kulik, Rafal ; Mikosch, Thomas ; Wang, Yizao ; Wintenberger, Olivier

Date(s) 04/07/2022 - 08/07/2022

URL associée https://conferences.cirm-math.fr/2633.html

00:00:00 / 00:00:00

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Empirical spectral processes for stationary state space models

De Vicky Fasen-Hartmann

In this talk, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivariate continuous-time ARMA processes. Thereby, the sampling distance is fixed and the driving Lévy process has at least a finite fourth moment. Under different assumptions on the function space and the moments of the driving Lévy process we derive a central limit theorem for the function-indexed normalized weighted integrated periodogram. Either the assumption on the function space or the assumption on the existence of moments of the Lévy process is weaker. The results can be used to derive the asymptotic behavior of the Whittle estimator and to construct goodness-of-fit test statistics as the Grenander-Rosenblatt statistic and the Cramér-von Mises statistic.

Informations sur la vidéo

Date de captation 04/07/2022
Date de publication 25/07/2022
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19937703
Citer cette vidéo Fasen-Hartmann, Vicky (04/07/2022). Empirical spectral processes for stationary state space models. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19937703
URL https://dx.doi.org/10.24350/CIRM.V.19937703

Domaine(s)

Statistiques - Théorie

Bibliographie

FASEN-HARTMANN, Vicky et MAYER, Celeste. Empirical spectral processes for stationary state space processes. arXiv preprint arXiv:2202.12589, 2022. - https://doi.org/10.48550/arXiv.2202.12589
BARDET, Jean‐Marc, DOUKHAN, Paul, et LEÓN, José Rafael. Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate. Journal of Time Series Analysis, 2008, vol. 29, no 5, p. 906-945. - https://doi.org/10.1111/j.1467-9892.2008.00588.x
DAHLHAUS, Rainer. Empirical spectral processes and their applications to time series analysis. Stochastic Processes and their Applications, 1988, vol. 30, no 1, p. 69-83. - https://doi.org/10.1016/0304-4149(88)90076-2
DAHLHAUS, Rainer et POLONIK, Wolfgang. Empirical spectral processes for locally stationary time series. Bernoulli, 2009, vol. 15, no 1, p. 1-39. - http://dx.doi.org/10.3150/08-BEJ137
MIKOSCH, Thomas et NORVAIŠA, Rimas. Uniform convergence of the empirical spectral distribution function. Stochastic processes and their applications, 1997, vol. 70, no 1, p. 85-114. - https://doi.org/10.1016/S0304-4149(97)00053-7

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