A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM

DOI10.1017/S0266466611000697zbMath1251.60028OpenAlexW3123936563MaRDI QIDQ2890708

Søren Glud Johansen, Morten Ørregaard Nielsen

Publication date: 11 June 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000697

zbMATH Keywords

fractional functional central limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Related Items (13)

Unnamed Item ⋮ Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ Nonstationary fractionally integrated functional time series ⋮ THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Nonstationary Cointegration in the Fractionally Cointegrated VAR Model ⋮ ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION ⋮ Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration ⋮ Wavelet energy ratio unit root tests

Cites Work

• Weak convergence of multivariate fractional processes
• THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
• Weak convergence to fractional brownian motion and to the rosenblatt process
• The Invariance Principle for Stationary Processes

This page was built for publication: A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM