Remigijus Leipus

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We show that a class of microeconomic behavioral models with interacting agents, introduced by Kirman (1991, 1993), can replicate the empirical long-memory properties of the two rst conditional moments of nancial time series. The essence of these models is that the forecasts and thus the desired trades of the individuals in the markets are in uenced,(More)
We suggest a rescaled variance type test for stationarity (null hypothesis) against deterministic trends and unit roots. The asymptotic (parameter free) distribution of the test is derived and critical values tabulated by simulations for a wide class of stationary errors with short, long or negative dependence structure. The proposed test detects a(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 the partial sums of the squared observations, which are similar in spirit to the classical R/S analysis, as well as spectral domain approximate maximum likelihood(More)
The paper studies the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, ”elementary”, cases. In particular cases of the mixture densities, the structure (moving average representation) of(More)
The paper concerns the asymptotic distribution of the mixture density estimator, proposed by Leipus et al. (2006), in the aggregation/disaggregation problem of random parameter AR(1) process. We prove that, under mild conditions on the (semiparametric) form of the mixture density, the estimator is asymptotically normal. The proof is based on the limit(More)
* The first author is supported by National Natural Science Foundation of China (No. 71471090, 11001052), the Humanities and Social Sciences Foundation of the Ministry of Education of China (No. 14YJCZH182), China Postdoctoral Science Foundation (No. 2014T70449, 2012M520964), Natural Science Foundation of Jiangsu Province of China (No. BK20131339), Qing Lan(More)
In this paper, we obtain a closed form for the covariance function of a general stationary regenerative process. It is used to derive exact asymptotics of the covariance function of stationary ON/OFF and workload processes, when ON and OFF periods are heavy-tailed andmutually dependent. The case of aG/G/1/0 queueing systemwith heavy-tailed arrival and/or(More)
We discuss nonparametric estimation of the distribution function G(x) of the autoregressive coefficient from a panel of N random-coefficient AR(1) data, each of length n, by the empirical distribution of lag 1 sample correlations of individual AR(1) processes. Consistency and asymptotic normality of the empirical distribution function and a class of kernel(More)