Weak convergence of multivariate fractional processes

D. Marinucci and P. M. Robinson

Stochastic Processes and their Applications, 2000, vol. 86, issue 1, 103-120

Abstract: Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent interest on approximations for partial sums of stationary linear vector sequences. A functional central limit theorem for smoothed processes is established under more general assumptions.

Keywords: Nonstationary; fractional; integration; Functional; central; limit; theorem (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (79)

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