Weak convergence of multivariate fractional processes
Marinucci, D; and Robinson, Peter
(2000)
Weak convergence of multivariate fractional processes.
Stochastic Processes and Their Applications, 86 (1).
103 - 120.
ISSN 0304-4149
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 |
|---|---|
| Keywords | nonstationary fractional integration,functional central limit theorem |
| Departments | LSE |
| DOI | 10.1016/S0304-4149(99)00088-5 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1654 |