Functional data often arise from measurements on fine time grids and are obtained by separating an almost continuous time record into natural consecutive intervals, for example, days. The functionsâ€¦ (More)

Consider the fractional ARIMA time series with innovations that have innnite variance. This is a nite parameter model which exhibits both long-range dependence (long memory) and high variability. Weâ€¦ (More)

We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike the residuals of an ARMA process, these residuals do not behave inâ€¦ (More)

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis et al. (1999b). We consider estimation methods based on theâ€¦ (More)

A wavelet-based index of storm activity (WISA) has been recently developed [Jach, A., Kokoszka, P., Sojka, L., Zhu, L., 2006. Wavelet-based index of magnetic storm activity. Journal of Geophysicalâ€¦ (More)

The paper develops a comprehensive asymptotic theory for the estimation of a changeâ€“ point in the mean function of functional observations. We consider both the case of a constant change size, andâ€¦ (More)

Economic and financial data often take the formof a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intradayâ€¦ (More)

We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy-tailed marginal distributions. Using point process theory, we study both linear andâ€¦ (More)

We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions on moments and theâ€¦ (More)