Fractional Invariance Principle

DOI10.1111/j.1467-9892.2004.00411.xzbMath1088.60029OpenAlexW3121840370MaRDI QIDQ5467613

Yuzo Hosoya

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00411.x

zbMATH Keywords

fractional Brownian motionlinear processcentral limit theoremasymptotic conditional homoscedasticity

Mathematics Subject Classification ID

Brownian motion (60J65) Functional limit theorems; invariance principles (60F17)

Related Items (6)

Consistent order selection for ARFIMA processes ⋮ Weak convergence to a modified fractional Brownian motion ⋮ Parametric estimation of long memory in factor models ⋮ Gaussian pseudo-maximum likelihood estimation of fractional time series models ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Fixed Bandwidth Inference for Fractional Cointegration

Cites Work

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• Extensions of results of Komlós, Major, and Tusnády to the multivariate case
• Alternative forms of fractional Brownian motion
• A limit theory for long-range dependence and statistical inference on related models
• 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
• Invariance principles for dependent variables
• The Invariance Principle for Stationary Processes

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