Invariance principles for tempered fractionally integrated processes

DOI10.1016/J.SPA.2017.11.004MaRDI QIDQ1615896zbMATH OpenOpenAlexFDO

Authors 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

autoregressive fractionally integrated moving averageinvariance principletempered fractional stable/Brownian motiontempered fractional unit root distributiontempered linear process

Mathematics Subject Classification ID

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

Abstract: We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $alpha$-stable $(1<alphale2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $lambdasimlambd{a}_{\ast }/N$. We show that the limit of the partial sums process takes a different form in the weakly tempered ($lambd{a}_{\ast }=0$), strongly tempered ($lambd{a}_{\ast }=infty$), and moderately tempered ($0<lambd{a}_{\ast }<infty$) cases. These results are used to derive the limit distribution of the OLS estimate of AR(1) unit root with weakly, strongly, and moderately tempered moving average errors.

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Cited in

(14)

• Tempered fractional Brownian and stable motions of second kind
• Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution
• Limit theorems for linear random fields with tapered innovations. II: The stable case
• 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
• Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model
• The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
• Tempered functional time series
• Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data
• Properties of Test Statistics for Nonparametric Cointegrating Regression Functions Based on Subsamples
• Tempered processes in modelling of single-particle tracking experiments
• A note on linear processes with tapered innovations

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