Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence

N. N. Leonenko and V. V. Anh

International Journal of Stochastic Analysis, 2001, vol. 14, 1-20

Abstract:

This paper establishes the rate of convergence (in the uniform Kolmogorov distance) for normalized additive functionals of stochastic processes with long-range dependence to a limiting Rosenblatt distribution.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:780430

DOI: 10.1155/S1048953301000041

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