Fractional Invariance Principle
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Publication:5467613
DOI10.1111/j.1467-9892.2004.00411.xzbMath1088.60029OpenAlexW3121840370MaRDI QIDQ5467613
Publication date: 24 May 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00411.x
fractional Brownian motionlinear processcentral limit theoremasymptotic conditional homoscedasticity
Related Items (6)
Consistent order selection for ARFIMA processes ⋮ Weak convergence to a modified fractional Brownian motion ⋮ Parametric estimation of long memory in factor models ⋮ Gaussian pseudo-maximum likelihood estimation of fractional time series models ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Fixed Bandwidth Inference for Fractional Cointegration
Cites Work
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- Extensions of results of Komlós, Major, and Tusnády to the multivariate case
- Alternative forms of fractional Brownian motion
- A limit theory for long-range dependence and statistical inference on related models
- Weak convergence of multivariate fractional processes
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Invariance principles for dependent variables
- The Invariance Principle for Stationary Processes
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