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Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation

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  • Tanaka, Katsuto
  • 田中, 勝人

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  • Tanaka, Katsuto & 田中, 勝人, 2011. "Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation," Discussion Papers 2011-06, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2011-06
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/19243/070econDP11-06.pdf
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    References listed on IDEAS

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    1. Nabeya, Seiji & Tanaka, Katsuto, 1990. "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," Econometrica, Econometric Society, vol. 58(1), pages 145-163, January.
    2. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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