The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations

DOI10.1007/S11425-010-4140-2zbMATH Open1218.60018OpenAlexW2087468728MaRDI QIDQ547338FDOQ547338

Authors: Jin Qiu, Zhengyan Lin 

Publication date: 1 July 2011

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-010-4140-2

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zbMATH Keywords

near-epoch dependenceinvariance principlefractionally integrated processesstrong near-epoch dependence

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Some Limit Theorems for Stationary Processes
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• The Invariance Principle for Stationary Processes
• Inference for unstable long-memory processes with applications to fractional unit root autoregressions
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
• The Fractional Unit Root Distribution
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Noncentral limit theorems and Appell polynomials
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• The functional central limit theorem for linear processes with strong near-epoch dependent innovations
• A central limit theorem for strong near-epoch dependent random variables
• The functional central limit theorem for strong near-epoch dependent random variables
• Strong near-epoch dependence
• The variance of partial sums of strong near-epoch dependent variables

Cited In (7)

• THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES
• A necessary moment condition for the fractional functional central limit theorem
• A test of the null of integer integration against the alternative of fractional integration
• Invariance principles for tempered fractionally integrated processes
• Weak convergence of the function-indexed integrated periodogram for infinite variance processes
• Weak convergence in the near unit root setting
• Invariance principles for fractionally integrated nonlinear processes

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