Weak Convergence of Vervaat and Vervaat Error Processes of Long-Range Dependent Sequences

Miklós Csörgő () and Rafał Kulik ()
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Miklós Csörgő: Carleton University
Rafał Kulik: University of Sydney

Journal of Theoretical Probability, 2008, vol. 21, issue 3, 672-686

Abstract: Abstract Following Csörgő, Szyszkowicz and Wang (Ann. Stat. 34, 1013–1044, 2006) we consider a long range dependent linear sequence. We prove weak convergence of the uniform Vervaat and the uniform Vervaat error processes, extending their results to distributions with unbounded support and removing normality assumption.

Keywords: Vervaat process; Long range dependence (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10959-007-0124-8

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