Weak convergence of multivariate fractional processes
Marinucci, D. & Robinson, P. M.
(1998).
Weak convergence of multivariate fractional processes.
(Econometrics paper series EM/98/352).
Suntory and Toyota International Centres for Economics and Related Disciplines.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 1998 The Authors |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2322 |