Weak convergence of multivariate fractional processes

D Marinucci and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent interest on approximations for partial sums of stationary linear vector sequences. A functional central limit theorem for smoothed processes is analyzed under more general assumptions.

Keywords: Nonstationary fractional integration; functional central limit theorem (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1998-07
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2322

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