Skip to main content

15 Result(s)

within L. Giraitis Remove this filter

and

  1. No Access

    Article

    Evaluating Currency Risk in Emerging Markets

    We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity, and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from depe...

    S. Y. Novak, V. Dalla, L. Giraitis in Acta Applicandae Mathematicae (2007)

  2. No Access

    Article

    A generalized fractionally differencing approach in long-memory modeling

    We extend the class of fractional ARIMA models to the class of fractional ARUMA models, which describe long-memory time series with long-range periodical behavior at a finite number of spectrum frequencies. Th...

    L. Giraitis, R. Leipus in Lithuanian Mathematical Journal (1995)

  3. No Access

    Chapter and Conference Paper

    Long Memory Shot Noises and Limit Theorems with Application to Burgers’ Equation

    Shot noise processes and random fields with long memory are discussed. Convergence of the distribution of integrated polynomials of shot noise process with long memory to a self-similar process expressed as mu...

    L. Giraitis, S. A. Molchanov, D. Surgailis in New Directions in Time Series Analysis (1993)

  4. No Access

    Article

    Testing and estimating in the change-point problem of the spectral function

    L. Giraitis, R. Leipus in Lithuanian Mathematical Journal (1992)

  5. No Access

    Chapter

    On shot noise processes attracted to fractional Lévy motion

    Convergence in distribution of an integrated shot noise process to α-stable fractional Lévy motion (1 < α < 2) is discussed. We show also that the class of limiting processes contains some non-stable self-similar...

    L. Giraitis, D. Surgailis in Stable Processes and Related Topics (1991)

  6. No Access

    Article

    Functional CLT for nonparametric estimates of the spectrum and change-point problem for a spectral function

    L. Giraitis, R. Leipus in Lithuanian Mathematical Journal (1990)

  7. Article

    A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

    A central limit theorem for quadratic forms in strongly dependent linear (or moving average) variables is proved, generalizing the results of Avram [1] and Fox and Taqqu [3] for Gaussian variables. The theorem...

    L. Giraitis, D. Surgailis in Probability Theory and Related Fields (1990)

    Download PDF (618 KB)

  8. No Access

    Article

    Central limit theorem for polynomial forms. II

    L. Giraitis in Lithuanian Mathematical Journal (1989)

  9. No Access

    Article

    Central limit theorem for polynomial forms. I

    L. Giraitis in Lithuanian Mathematical Journal (1989)

  10. No Access

    Article

    Limit theorem for polynomials of a linear process with long-range dependence

    L. Giraitis, D. Surgailis in Lithuanian Mathematical Journal (1989)

  11. No Access

    Chapter

    Multivariate Appell polynomials and the central limit theorem

    A CLT for processes of the form L(Xt) is proved, where L(x) is a polynomial and Xt, t ∈ ℤ is a process with long range dependence. Conditions on Xt are formulated in terms of semi-invariants; they are specified f...

    L. Giraitis, D. Surgailis in Dependence in Probability and Statistics (1986)

  12. Article

    CLT and other limit theorems for functionals of Gaussian processes

    Conditions for the CLT for non-linear functionals of stationary Gaussian sequences are discussed, with special references to the borderline between the CLT and the non-CLT. Examples of the non-CLT for such fun...

    L. Giraitis, D. Surgailis in Zeitschrift für Wahrscheinlichkeitstheorie… (1985)

    Download PDF (864 KB)

  13. No Access

    Article

    Central limit theorem for functionals of a linear process

    L. Giraitis in Lithuanian Mathematical Journal (1985)

  14. No Access

    Article

    Asymptotic distribution of spectral estimates of ito-wiener integrals

    L. Giraitis in Lithuanian Mathematical Journal (1984)

  15. No Access

    Article

    Convergence of certain nonlinear transformations of a Gaussian sequence to self-similar processes

    L. Giraitis in Lithuanian Mathematical Journal (1983)