Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals

DOI10.1111/JTSA.12250MaRDI QIDQ4596435zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Brownian motioncointegrationmultivariate stochastic power integralsnonlinear dynamic modelsunit roots

Mathematics Subject Classification ID

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

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Cited in

(3)

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

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