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Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions

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  • P. Jeganathan

    (Indian Statistical Institute)

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    Abstract

    Too technical to post, see paper.

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    File URL: http://cowles.econ.yale.edu/P/cd/d16a/d1649.pdf
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    Bibliographic Info

    Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1649.

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    Length: 80 pages
    Date of creation: Apr 2008
    Date of revision:
    Handle: RePEc:cwl:cwldpp:1649

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    Related research

    Keywords: Fractional ARIMA; Sums of linear process; Nonlinear functionals; Limit theorems; Local time; Fractional Brownian and Stable motions;

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    References

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    1. Joon Y. Park & Peter C. B. Phillips, 1999. "Nonlinear Regressions with Integrated Time Series," Working Paper Series no6, Institute of Economic Research, Seoul National University.
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    Cited by:
    1. Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012. "Non-linearity Induced Weak Instrumentation," University of Cyprus Working Papers in Economics 02-2012, University of Cyprus Department of Economics.
    2. Qiying Wang & Peter C. B. Phillips, 2009. "Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications," Cowles Foundation Discussion Papers 1687, Cowles Foundation for Research in Economics, Yale University.
    3. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.

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