Convergence of long-memory discrete kth order Volterra processes

Shuyang Bai and Murad S. Taqqu

Stochastic Processes and their Applications, 2015, vol. 125, issue 5, 2026-2053

Abstract: We obtain limit theorems for a class of nonlinear discrete-time processes X(n) called the kth order Volterra processes of order k. These are moving average kth order polynomial forms: X(n)=∑0Keywords: Long memory; Long-range dependence; Volterra process; Wiener chaos; Wiener; Stratonovich; Limit theorems (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2014.12.006

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