Multivariate limits of multilinear polynomial-form processes with long memory

Consider a vector of multilinear polynomial-form processes with either short or long memory components. The components have possibly different coefficients but same noise elements. We study the limit of the normalized partial sums of the vector and identify the independent components.

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Year of publication:	2013
Authors:	Bai, Shuyang ; Taqqu, Murad S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 11, p. 2473-2485
Publisher:	Elsevier
Subject:	Long memory \| Multilinear polynomial-form process \| Multivariate limit theorems \| Asymptotic independence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709049