CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES

DOI10.1017/S0266466606060130zbMath1130.60023OpenAlexW1976822361MaRDI QIDQ5438205

Lajos Horváth, István Berkes

Publication date: 23 January 2008

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060130

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Related Items (13)

Functional-coefficient models for nonstationary time series data ⋮ ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION ⋮ NEGATIVE POWERS OF INTEGRATED PROCESSES ⋮ Adaptive estimation for varying coefficient models with nonstationary covariates ⋮ A specification test for nonlinear nonstationary models ⋮ Semiparametric estimation in triangular system equations with nonstationarity ⋮ WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE ⋮ Dynamic misspecification in nonparametric cointegrating regression ⋮ Summability of stochastic processes -- a generalization of integration for non-linear processes ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ Nonlinear regressions with nonstationary time series ⋮ Nonparametric predictive regression ⋮ NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY

Cites Work

• The effect of long-range dependence on change-point estimators
• Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
• Weak convergence to fractional brownian motion and to the rosenblatt process
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
• The Invariance Principle for Stationary Processes

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