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