Multivariate limits of multilinear polynomial-form processes with long memory

DOI10.1016/J.SPL.2013.06.027MaRDI QIDQ2438491zbMATH OpenOpenAlexFDO

Authors Shuyang Bai, Murad S. Taqqu

Publication date 5 March 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.5209

zbMATH Keywords

asymptotic independencelong memorymultilinear polynomial-form processmultivariate limit theorems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18)

Abstract: We consider the multilinear polynomial-form process [X(n)=sum_{1le i_1<ldots<i_k<infty}a_{i_1}ldots a_{i_k}epsilon_{n-i_1}ldotsepsilon_{n-i_k},] obtained by applying a multilinear polynomial-form filter to i.i.d. sequence $epsilo{n}_i$ where $a_i$ is regularly varying. The resulting sequence $X(n)$ will then display either short or long memory. Now consider a vector of such X(n), whose components are defined through different $a_i$'s, that is, through different multilinear polynomial-form filters, but using the same $epsilo{n}_i$. What is the limit of the normalized partial sums of the vector? We show that the resulting limit is either a) a multivariate Gaussian process with Brownian motion as marginals, or b) a multivariate Hermite process, or c) a mixture of the two. We also identify the independent components of the limit vectors.

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Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
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• Multiple Wiener-Ito integrals. With applications to limit theorems
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Cited in

(3)

• Limit theorems in the context of multivariate long-range dependence
• The impact of the diagonals of polynomial forms on limit theorems with long memory
• Generalized Hermite processes, discrete chaos and limit theorems

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