Weak convergence of multivariate fractional processes
Marinucci, D. & Robinson, P.
(2000).
Weak convergence of multivariate fractional processes.
Stochastic Processes and Their Applications,
86(1), 103 - 120.
https://doi.org/10.1016/S0304-4149(99)00088-5
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 established under more general assumptions.
| Item Type | Article |
|---|---|
| Copyright holders | © 2000 Elsevier Science B.V. |
| Departments | LSE |
| DOI | 10.1016/S0304-4149(99)00088-5 |
| Date Deposited | 27 Apr 2007 |
| Acceptance Date | 24 Sep 1999 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1654 |
Explore Further
- https://www.lse.ac.uk/economics/people/faculty/peter-robinson (Author)
- https://www.scopus.com/pages/publications/0001124140 (Scopus publication)
- https://www.sciencedirect.com/journal/stochastic-p... (Official URL)