Strong Approximation for Long Memory Processes with Applications

Qiying Wang (), Yan-Xia Lin () and Chandra M. Gulati ()
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Qiying Wang: Australian National University
Yan-Xia Lin: University of Wollongong
Chandra M. Gulati: University of Wollongong

Journal of Theoretical Probability, 2003, vol. 16, issue 2, 377-389

Abstract: Abstract In this paper we inverstigate the strong approximation of a linear process with long memory to a Gaussian process. The results are then applied to derive the law of the iterated logarithm and Darling–Erdős type theorem for long memory processes under ideal conditions.

Keywords: long memory process; strong approximation; the law of the iterated logarithm; Darling–Erdős type theorem (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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DOI: 10.1023/A:1023570510824

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