Weak convergence of multivariate fractional processes (Q1411878)
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scientific article; zbMATH DE number 2000163
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak convergence of multivariate fractional processes |
scientific article; zbMATH DE number 2000163 |
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Weak convergence of multivariate fractional processes (English)
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3 November 2003
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For a wide class of nonstationary fractionally integrated multivariate processes, weak convergence to the vector fractional Brownian motion of the form \(W(r;\Omega) = \int _0^r G(r,s) dB(r,\Omega)\) is proved where \(G\) is a suitable matrix kernel and \(B(r,\Omega)\) denotes a Brownian motion with the incremental covariance matrix \(\Omega \). A functional central limit theorem is also established.
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nonstationary fractional integration
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functional central limit theorem
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