Weak convergence of multivariate fractional processes (Q1411878): Difference between revisions

For a wide class of nonstationary fractionally integrated multivariate processes, weak convergence to the vector fractional Brownian motion of the form \(W(r;\Omega) = \int _0^r G(r,s) dB(r,\Omega)\) is proved where \(G\) is a suitable matrix kernel and \(B(r,\Omega)\) denotes a Brownian motion with the incremental covariance matrix \(\Omega \). A functional central limit theorem is also established.