Fractional Invariance Principle

DOI10.1111/j.1467-9892.2004.00411.xzbMath1088.60029MaRDI QIDQ5467613

Yuzo Hosoya

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

zbMATH Keywords

fractional Brownian motion; linear process; central limit theorem; asymptotic conditional homoscedasticity

Mathematics Subject Classification ID

60J65: Brownian motion

60F17: Functional limit theorems; invariance principles

Related Items

Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models, Gaussian pseudo-maximum likelihood estimation of fractional time series models, Weak convergence to a modified fractional Brownian motion

Cites Work

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• Invariance principles for dependent variables
• The Invariance Principle for Stationary Processes