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Weak convergence of multivariate fractional processes

Author

Listed:
  • Marinucci, D
  • Robinson, Peter M.

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

  • Marinucci, D & Robinson, Peter M., 1998. "Weak convergence of multivariate fractional processes," LSE Research Online Documents on Economics 2322, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2322
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    File URL: http://eprints.lse.ac.uk/2322/
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    Citations

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    Cited by:

    1. Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
    2. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.

    More about this item

    Keywords

    Nonstationary fractional integration; functional central limit theorem;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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