Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals

DOI10.1111/JTSA.12250zbMath1384.62295OpenAlexW2751131055MaRDI QIDQ4596435

Rickard Sandberg

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12250

zbMATH Keywords

Brownian motioncointegrationunit rootsnonlinear dynamic modelsmultivariate stochastic power integrals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Brownian motion (60J65) Non-Markovian processes: hypothesis testing (62M07)

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