Asymptotic theory for curve-crossing analysis

Zhibiao Zhao, Wei Biao Wu

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

We consider asymptotic properties of curve-crossing counts of linear processes and nonlinear time series by curves. Central limit theorems are obtained for curve-crossing counts of short-range dependent processes. For the long-range dependence case, the asymptotic distributions are shown to be either multiple Wiener-Itô integrals or integrals with respect to stable Lévy processes, depending on the heaviness of tails of the underlying processes.

Original languageEnglish (US)
Pages (from-to)862-877
Number of pages16
JournalStochastic Processes and their Applications
Volume117
Issue number7
DOIs
StatePublished - Jul 2007

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Asymptotic theory for curve-crossing analysis'. Together they form a unique fingerprint.

Cite this