Giraitis, Liudas

Number of items: 27.
None
  • Dalla, Violetta, Giraitis, Liudas, Robinson, Peter M. (2020). Asymptotic theory for time series with changing mean and variance. Journal of Econometrics, 219(2), 281 - 313. https://doi.org/10.1016/j.jeconom.2020.03.005
  • Dalla, Violetta, Giraitis, Liudas, Hidalgo, Javier (2006). Consistent estimation of the memory parameter for nonlinear time series. Journal of Time Series Analysis, 27(2), 211-251. https://doi.org/10.1111/j.1467-9892.2005.00464.x
  • Robinson, Peter M., Giraitis, Liudas (2003). Parametric estimation under long range dependence. In Doukhan, P., Oppenheim, G. & Taqqu, M. (Eds.), Theory and Applications of Long Range Dependence (pp. 229-250). Birkhäuser (Firm).
  • Giraitis, Liudas, Taqqu, Murad S. (2001). Functional non-central and central limit theorems for bivariate Appell polynomials. Journal of Theoretical Probability, 14(2), 393-426. https://doi.org/10.1023/A:1011111730227
  • Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus (2001). Testing for long memory in the presence of a general trend. Journal of Applied Probability, 38(4), 1033-1054. https://doi.org/10.1239/jap/1011994190
  • Giraitis, Liudas, Robinson, Peter M., Samarov, Alexander (2000). Adaptive semiparametric estimation of the memory parameter. Journal of Multivariate Analysis, 72(2), 183-207. https://doi.org/10.1006/jmva.1999.1865
  • Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus (2000). Stationary ARCH models: dependence structure and central limit theorem. Econometric Theory, 16(1), 3-22. https://doi.org/10.1017/S0266466600161018
  • Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus, Teyssière, Gilles (2000). Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. Statistical Inference for Stochastic Processes, 3(1-2), 113-128. https://doi.org/10.1023/A:1009951213271
  • Giraitis, Liudas, Surgailis, Donatas (1999). Central limit theorem for the empirical process. Journal of Statistical Planning and Inference, 80(1-2), 81-93. https://doi.org/10.1016/S0378-3758(98)00243-2
  • Giraitis, Liudas, Taqqu, Murad S. (1999). Convergence of normalized quadratic forms. Journal of Statistical Planning and Inference, 80(1-2), 15-35. https://doi.org/10.1016/S0378-3758(98)00240-7
  • Giraitis, Liudas, Robinson, Peter, Surgailis D (1999). Variance-type estimation of long memory. Stochastic Processes and Their Applications, 80(1), 1-24. https://doi.org/10.1016/S0304-4149(98)00062-3
  • Giraitis, Liudas, Taqqu, M. S. (1999). Whittle estimator for finite-variance non-Gaussian time series with long memory. Annals of Statistics, 27(1), 178-203.
  • Giraitis, Liudas, Robinson, Peter M., Samarov, Alexander (1997). Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range dependence. (Econometrics; EM/1997/323 EM/1997/323). Suntory and Toyota International Centres for Economics and Related Disciplines.
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  • Giraitis, Liudas, Taniguchi, Masanobu, Taqqu, Murad S. (2016). Asymptotic normality of quadratic forms of martingale differences. Statistical Inference for Stochastic Processes, https://doi.org/10.1007/s11203-016-9143-3
  • Giraitis, Liudas, Koul, Hira L. (2013). On asymptotic distributions of weighted sums of periodograms. Bernoulli, 19(5B), 2389-2413. https://doi.org/10.3150/12-BEJ456
  • Dalla, Violetta, Giraitis, Liudas, Hidalgo, Javier (2006). Consistent estimation of the memory parameter for nonlinear time series. (EM 497). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas (2004). LARCH, leverage, and long memory. Journal of Financial Econometrics, 2(2), 177-210. https://doi.org/10.1093/jjfinec/nbh008
  • Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas (2003). LARCH, leverage and long memory. (Econometrics; EM/2003/460 EM/03/460). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter (2002). Edgeworth expansions for semiparametric Whittle estimation of long memory. (Econometrics; EM/2002/438 EM/02/438). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Hidalgo, Javier, Robinson, Peter (2001). Gaussian estimation of parametric spectral density with unknown pole. (Econometrics; EM/2001/424 EM/01/424). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M. (2001). Whittle estimation of ARCH models. Econometric Theory, 17(3), 608 - 631. https://doi.org/10.1017/S0266466601173056
  • Giraitis, Liudas, Robinson, Peter M. (2001). Parametric estimation under long-range dependence. (Econometrics; EM/2001/416 EM/01/416). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M. (2000). Whittle estimation of ARCH models. (Econometrics; EM/2000/406 EM/00/406). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter, Surgailis, Donatas (2000). A model for long memory conditional heteroscedasticity. (Econometrics; EM/2000/382 EM/00/382). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M., Samarov, Alexander (2000). Adaptive semiparametric estimation of the memory parameter. (Econometrics; EM/2000/379 EM/00/379). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M., Surgailis, Donatas (2000). A model for long memory conditional heteroscedasticity. Annals of Applied Probability, 10(3), 1002-1024.
  • Giraitis, Liudas, Robinson, Peter M. (1998). Variance-type estimation of long memory. (Econometrics; EM/1998/363 EM/98/363). Suntory and Toyota International Centres for Economics and Related Disciplines.