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

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Author Info
P. Jeganathan (Indian Statistical Institute)
Abstract

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File URL: http://cowles.econ.yale.edu/P/cd/d16a/d1649.pdf
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1649.

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Length: 80 pages
Date of creation: Apr 2008
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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

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-61, January.
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This page was last updated on 2008-7-18.

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