Weak convergence of multivariate fractional processes

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.

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Year of publication:	1998-07
Authors:	Marinucci, D ; Robinson, Peter M.
Institutions:	London School of Economics (LSE)
Subject:	Nonstationary fractional integration \| functional central limit theorem

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometrics; EM/1998/352, EM/98/352 25 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010745962