arXiv subjects

Donata Puplinskaite

Publications and source records attributed to Donata Puplinskaite.

3 recordsLinked to original sources

arXiv2014

Scaling transition for long-range dependent Gaussian random fields

In Puplinskaite and Surgailis (2014) we introduced the notion of scaling transition for stationary random fields $X$ on $\mathbb{Z}^2$ in terms of partial sums limits, or scaling limits, of $X$ over rectangles whose sides grow at possibly different rate. The present paper establishes the existence of scaling transition for a natural class of stationary Gaussian random fields on $\mathbb{Z}^2$ with long-range dependence. The scaling limits of such random fields are identified and characterized by dependence properties of rectangular increments.

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arXiv2013

Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes

We discuss contemporaneous aggregation of independent copies of a triangular array of random-coefficient AR(1) processes with i.i.d. innovations belonging to the domain of attraction of an infinitely divisible law W. The limiting aggregated process is shown to exist, under general assumptions on W and the mixing distribution, and is represented as a mixed infinitely divisible moving-average. Partial sums process of $ is discussed under the assumption E(W^2) is finite and a mixing density regularly varying at the "unit root" x=1 with exponent β>0. We show that the above partial sums process may exhibit four different limit behaviors depending on βand the Lévy triplet of W. Finally, we study the disaggregation problem in spirit of Leipus et al. (2006) and obtain the weak consistency of the corresponding estimator of the mixing distribution in a suitable L_2-space.

math.ST↗

arXiv2013

Aggregation and long memory: recent developments

It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregation has become one of the main tools for modelling of long memory processes. We review recent work on contemporaneous aggregation of random-coefficient AR(1) and related models, with particular focus on various long memory properties of the aggregated process.

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