This paper considers the problem of variance estimation for the sample mean in the context of long memory and negative memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics literature. The distribution theory generalizes the short memory results of...

Most tail index estimators are formulated under assumptions of weak serial dependence, but nevertheless are applied in practice to long-range dependent time series data. This issue arises because for many time series found in teletraffic and financial econometric applications, both heavy tails...

type="main" xml:id="jtsa12102-abs-0001"This article advances the theory and methodology of signal extraction by developing the optimal treatment of difference stationary multivariate time-series models. Using a flexible time-series structure that includes co-integrated processes, we derive and...