Mixed Frequency Data Sampling Regression Models: The R Package midasr
- Eric Ghysels, Virmantas Kvedaras, V. Zemlys
- Mathematics
- 16 August 2016
This article defines a general autoregressive MIDAS regression model with multiple variables of different frequencies and shows how it can be specified using the familiar R formula interface and estimated using various optimization methods chosen by the researcher.
Testing the functional constraints on parameters in regressions with variables of different frequency
- Virmantas Kvedaras, V. Zemlys
- Mathematics
- 1 August 2012
A Hölderian functional central limit theorem for a multi-indexed summation process☆
- A. Račkauskas, Charles Suquet, V. Zemlys
- Mathematics
- 1 August 2007
Functional Central Limit Theorem for Double-Indexed Summation Process
- A. Račkauskas, V. Zemlys
- Mathematics
- 1 July 2005
We establish necessary and sufficient conditions for the weak convergence of a double-indexed summation process to a Brownian sheet in some Holder spaces.
A Hölderian FCLT for some multiparameter summation process of independent non-identically distributed random variables
- V. Zemlys
- Mathematics
- 21 December 2008
We introduce a new construction of a summation process based on the collection of rectangular subsets of unit d-dimensional cube for a triangular array of independent non-identically distributed…
Principe d'invariance pour processus de sommation multiparamétrique et applications
- V. Zemlys
- Mathematics
- 26 September 2008
A these a pour objet de prouver le principe d'invariance dans des espaces de Holder pour le processus de sommation multiparametrique et d'utiliser ce resultat en detection de rupture dans des donnees…
On extension of Donsker–Prokhorov invariance principle
- V. Zemlys
- MathematicsLietuvos matematikos rinkinys
- 20 December 2007
The extension of Donsker–Prokhorov invariance principle for two-dimensional parameter summation process in Hölder space is provided for the case of independent non-identically distributed random…