Marinucci, D and Robinson, Peter (2000) Weak convergence of multivariate fractional processes. Stochastic Processes and Their Applications, 86 (1). 103 - 120. ISSN 0304-4149
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Identification Number: 10.1016/S0304-4149(99)00088-5
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.sciencedirect.com/journal/stochastic-p... |
| Additional Information: | © 2000 Elsevier Science B.V. |
| Divisions: | LSE |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 25 Nov 2024 03:33 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1654 |
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