Download This PaperWeak Convergence of Multivariate Fractional Processes - (Now Published in Stochastic Processes and Their Applications, 80 (1999), Pp.103-120.)
27 Pages Posted: 21 Jul 2008
Date Written: July 1998
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.
JEL Classification: C13, C14
Suggested Citation: Suggested Citation
Marinucci, D., Weak Convergence of Multivariate Fractional Processes - (Now Published in Stochastic Processes and Their Applications, 80 (1999), Pp.103-120.) (July 1998). LSE STICERD Research Paper No. EM352, Available at SSRN: https://ssrn.com/abstract=1162563
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