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Weak convergence of multivariate fractional processes

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


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:
Additional Information: © 2000 Elsevier Science B.V.
Divisions: LSE
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 27 Apr 2007
Last Modified: 12 Feb 2024 04:33

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