Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)

D Marinucci and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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 analyzed under more general assumptions.

Keywords: Nonstationary fractional integration; functional central limit theorem (search for similar items in EconPapers)
Date: 1998-07

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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/1998/352

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