REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
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Publication:3652620
DOI10.1017/S0266466609990260zbMath1189.60109OpenAlexW2099066975WikidataQ57947629 ScholiaQ57947629MaRDI QIDQ3652620
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Publication date: 15 December 2009
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609990260
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)
Related Items (4)
Unnamed Item ⋮ Weak convergence to a modified fractional Brownian motion ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ Type I and type II fractional Brownian motions: a reconsideration
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
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- Probabilistic models for nonlinear partial differential equations. Lectures given at the 1st session of the Centro Internazionale Matematico Estivo, Montecatini Terme, Italy, May 22-30, 1995
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
- The Fractional Unit Root Distribution
- Stochastic Limit Theory
- Time Series Regression with a Unit Root
- Fractional Brownian Motions, Fractional Noises and Applications
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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