Invariance principles for tempered fractionally integrated processes

DOI10.1016/J.SPA.2017.11.004zbMath1409.60062arXiv1703.02467OpenAlexW2621786467MaRDI QIDQ1615896

Farzad Sabzikar, Donatas Surgailis

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.02467

zbMATH Keywords

invariance principleautoregressive fractionally integrated moving averagetempered fractional stable/Brownian motiontempered fractional unit root distributiontempered linear process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (9)

Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model ⋮ Tempered fractional Brownian and stable motions of second kind ⋮ Tempered functional time series ⋮ Analytic approaches of the anomalous diffusion: a review ⋮ On the empirical process of tempered moving averages ⋮ Asymptotic theory for regression models with fractional local to unity root errors ⋮ Asymptotic theory for near integrated processes driven by tempered linear processes ⋮ Limit theorems for linear random fields with tapered innovations. II: The stable case ⋮ A note on linear processes with tapered innovations

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