On linear processes with dependent innovations

By Wei Biao Wu, Wanli Min. 2005

120 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a149f40dca2eaa0bba90a40e5c43ddf6269a12a

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Citations in the corpus

On the Weak Invariance Principle for Non-Adapted Sequences under Projective Criteria (2007, background): “As already mentioned in Wu and Min [27], the wrong argument in the proof of Theorem 2.”
Mildly explosive autoregression under weak and strong dependence (2012, background): “The parametrisation cj = L (j) j is standard for stationary linear processes that exhibit long memory, see e.g. Giraitis, Koul and Surgailis (1996) and Wu and Min (2005).”
WEAKLY DEPENDENT CHAINS WITH INFINITE MEMORY (2007, background): “It is a sequence of independent and identically distributed (iid) random variables with values in a probability space E. Attractive examples of weakly dependent processes are Bernoulli shifts defined as (cf. [13], and also [ 26 ] for references)”
TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS (2010, background): “…≤ Cρn, n ∈ N. (3) The property (3) indicates that the process {un} forgets its past exponentially fast, and it can be verified for many nonlinear time series models, such as the threshold model, the bilinear model, and various forms of GARCH models; see Wu and Min (2005) and Shao and Wu (2007).”
The asymptotic size and power of the augmented Dickey–Fuller test for a unit root (2018, background): “Assumption 1(ii) is imposed in order to control the dependence structure of the innovation process {εt} and consequently of Ut ; cf. Wu and Min (2005).”
A bootstrap-assisted spectral test of white noise under unknown dependence (2011, background): “Consequently, the distributional convergence follows from Theorem 1 in Hannan (1973) or Lemma 1 in Wu and Min (2005).”
Split invariance principles for stationary processes. (2011, result): “MR2353389 [51] Wu, W. B. and Min, W. (2005).”
Asymptotic theory for stationary processes (2011, background): “Proposition 1 (Wu and Min, 2005).”
STRONG INVARIANCE PRINCIPLES FOR DEPENDENT RANDOM VARIABLES (2007, background): “See Baillie, Chung and Tieslau [2], Romano and Thombs [49], Hauser and Kunst [25], Lien and Tse [34] and Wu and Min [66] among others.”
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010, background): “A related conditional moment-based concept, L p-weak dependence, and associated central limit theory are treated in Wu (2005) and Wu and Min (2005).”
Central limit theorem for stationary linear processes (2005, background): “Moreover, if the sequence (ξi)i∈Z is ergodic and condition (2) is satisfied, then the central limit theorem in (3) holds with η = 2πf (0).”