Asymptotic theory for curve-crossing analysis

Zhibiao Zhao () and Wei Biao Wu

Stochastic Processes and their Applications, 2007, vol. 117, issue 7, 862-877

Abstract: We consider asymptotic properties of curve-crossing counts of linear processes and nonlinear time series by curves. Central limit theorems are obtained for curve-crossing counts of short-range dependent processes. For the long-range dependence case, the asymptotic distributions are shown to be either multiple Wiener-Itô integrals or integrals with respect to stable Lévy processes, depending on the heaviness of tails of the underlying processes.

Keywords: Central; limit; theorem; Curve-crossing; Linear; processes; Multiple; Wiener-Ito; integral; Non-central; limit; theorem; Nonlinear; time; series (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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