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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 established under more general assumptions.
Year of publication:
2000
Authors: Marinucci, D. ; Robinson, P. M.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 86.2000, 1, p. 103-120
Publisher: Elsevier
Keywords: Nonstationary fractional integration Functional central limit theorem
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874067
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