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Multivariate limits of multilinear polynomial-form processes with long memory

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  • Bai, Shuyang
  • Taqqu, Murad S.

Abstract

Consider a vector of multilinear polynomial-form processes with either short or long memory components. The components have possibly different coefficients but same noise elements. We study the limit of the normalized partial sums of the vector and identify the independent components.

Suggested Citation

  • Bai, Shuyang & Taqqu, Murad S., 2013. "Multivariate limits of multilinear polynomial-form processes with long memory," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2473-2485.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:11:p:2473-2485
    DOI: 10.1016/j.spl.2013.06.027
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    References listed on IDEAS

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    1. Pipiras, Vladas & Taqqu, Murad S., 2010. "Regularization and integral representations of Hermite processes," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 2014-2023, December.
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    Cited by:

    1. Bai, Shuyang & Taqqu, Murad S., 2014. "Generalized Hermite processes, discrete chaos and limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1710-1739.
    2. Shuyang Bai & Murad S. Taqqu, 2013. "Multivariate Limit Theorems In The Context Of Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 717-743, November.
    3. Düker, Marie-Christine, 2020. "Limit theorems in the context of multivariate long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5394-5425.
    4. Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips, 2018. "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," Cowles Foundation Discussion Papers 2131, Cowles Foundation for Research in Economics, Yale University.

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