Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals

DOI10.1111/JTSA.12250zbMATH Open1384.62295OpenAlexW2751131055MaRDI QIDQ4596435FDOQ4596435

Authors: Rickard Sandberg 

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12250

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zbMATH Keywords

unit rootscointegrationBrownian motionnonlinear dynamic modelsmultivariate stochastic power integrals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Brownian motion (60J65)

Cited In (3)

• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Uniform integrability of the OLS estimators, and the convergence of their moments
• Comment on ``Weak convergence to a matrix stochastic integral with stable processes

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