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Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)

Author

Listed:
  • D Marinucci
  • Peter M Robinson

Abstract

Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent interest on approximations for partial sums of stationary linear vector sequences. A functional central limit theorem for smoothed processes is analyzed under more general assumptions.

Suggested Citation

  • D Marinucci & Peter M Robinson, 1998. "Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)," STICERD - Econometrics Paper Series 352, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:352
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    File URL: https://sticerd.lse.ac.uk/dps/em/em352.pdf
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