We discuss joint temporal and contemporaneous aggregation of N independent copies of AR(1) process with random-coefficient a∈[0,1) when N and time scale n increase at different rate. Assuming that a has a density, regularly varying at a=1 with exponent −1β1, different joint limits of...

This short note corrects an error (a factor is missing) in two formulas related to L <Superscript>2</Superscript>-limits, established in “Discrete time hedging errors for options with irregular payoffs” by E. Gobet and E. Temam, Finance and Stochastics, 5, 357–367 (<CitationRef CitationID="CR6">2001</CitationRef>). Copyright Springer-Verlag Berlin Heidelberg...</citationref></superscript>

This paper considers the asymptotic distribution of the covariance of a nonstationary frac- tionally integrated process with the stationary increments of another such process - possibly, itself. Questions of interest include the relationship between the harmonic representation of these random...

We give the limiting distribution of the least squares estimator in the polynomial regression model driven by some long memory processes. We prove that with an appropriate normalization, the estimation error converges, in distribution, to a random vector which components are a mixture of...