Invariance principles for fractionally integrated nonlinear processes

MaRDI QIDQ5326870zbMATH OpenFDO

Authors Wei Biao Wu, Xiaofeng Shao

Publication date 31 July 2013

Full work available at URL https://arxiv.org/abs/math/0608223

zbMATH Keywords

fractional integrationlong memorynonlinear time seriesweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(15)

• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Invariance principles for tempered fractionally integrated processes
• Properties of nonlinear transformations of fractionally integrated processes.
• Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution
• Summability of stochastic processes -- a generalization of integration for non-linear processes
• Projective Stochastic Equations and Nonlinear Long Memory
• An invariance principle for fractional Brownian sheets
• Spurious regression between long memory series due to mis-specified structural breaks
• Fractional Invariance Principle
• The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
• Invariance principles for linear processes with application to isotonic regression
• Detecting long-range dependence for time-varying linear models
• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• Nonparametric detection of a time-varying mean
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration

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