Convergence of weighted sums of random variables with long-range dependence.

DOI10.1016/S0304-4149(00)00040-5MaRDI QIDQ1879488zbMATHOpenAlexFDO

Authors Vladas Pipiras, Murad S. Taqqu

Publication date 22 September 2004

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

Full work available at URL https://doi.org/10.1016/s0304-4149(00)00040-5

zbMATH Keywords

long-range dependencefractional Brownian motionWeierstrass-Mandelbrot process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cites work

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• Convergence of the Weierstrass-Mandelbrot process to fractional Brownian motion
• Functional limit theorems for weighted sums of i.i.d. random variables
• Integration questions related to fractional Brownian motion
• The Invariance Principle for Stationary Processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes

Cited in

(13)

• scientific article; zbMATH DE number 991668 (Why is no real title available?)
• Tempered Hermite process
• Analysis of the rosenblatt process
• Asymptotic theory for regression models with fractional local to unity root errors
• Limit theorems for weighted sums of infinite variance random variables attracted to integrals of linear fractional stable motions
• Convergence of Weighted Sums of Products of Random Variables with Long-Range Dependence
• Weak convergence of weighted additive functionals of long-range dependent fields
• Invariance principles in Besov spaces, Gaussian processes and long-range dependence
• On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data
• Convergence and convergence rate to fractional Brownian motion for weighted random sums
• On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• Wiener integrals with respect to the generalized Hermite process (gHp). Applications: SDEs with ghp noise

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