Multivariate limits of multilinear polynomial-form processes with long memory

Shuyang Bai and Murad S. Taqqu

Statistics & Probability Letters, 2013, vol. 83, issue 11, 2473-2485

Abstract: Consider a vector of multilinear polynomial-form processes with either short or long memory components. The components have possibly different coefficients but same noise elements. We study the limit of the normalized partial sums of the vector and identify the independent components.

Keywords: Long memory; Multilinear polynomial-form process; Multivariate limit theorems; Asymptotic independence (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2013.06.027

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