Limit theorems in the context of multivariate long-range dependence

DOI10.1016/J.SPA.2020.03.011zbMATH Open1450.60027arXiv1704.08609OpenAlexW3014058384MaRDI QIDQ2196372FDOQ2196372

Marie-Christine Düker

Publication date: 2 September 2020

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

Abstract: This article considers multivariate linear processes whose components are either short- or long-range dependent. The functional central limit theorems for the sample mean and the sample autocovariances for these processes are investigated, paying special attention to the mixed cases of short- and long-range dependent series. The resulting limit processes can involve multivariate Brownian motion marginals, operator fractional Brownian motions and matrix-valued versions of the so-called Rosenblatt process.

Full work available at URL: https://arxiv.org/abs/1704.08609

zbMATH Keywords

long-range dependencemultivariate time seriesfunctional central limit theoremlinear processessample autocovariancesoperator self-similar processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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Cited In (5)

• Title not available (Why is that?)
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• Tangent fields, intrinsic stationarity, and self similarity
• Multidimensional limit theorems in models with categorized-time absolute priorities
• Limit theorems in change-point problems with multivariate long-range dependent observations

Uses Software

• longmemo

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