Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)

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:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Nonstationary fractional integration \| functional central limit theorem

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005797518