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Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties

Author

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  • Matei Demetrescu
  • Mehdi Hosseinkouchack

Abstract

This note analyzes the limiting behavior of suitably normalized partial sums of processes with an ARMA(1,1) structure when the AR and MA roots are in various types of neighborhoods of 1 and −1, respectively. In doing so, we allow for time‐varying volatility and persistence. Our results show how the radii of neighborhoods in the MA and AR filters interact and affect the corresponding invariance principles.

Suggested Citation

  • Matei Demetrescu & Mehdi Hosseinkouchack, 2026. "Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties," Journal of Time Series Analysis, Wiley Blackwell, vol. 47(4), pages 904-911, July.
    • Handle: RePEc:bla:jtsera:v:47:y:2026:i:4:p:904-911
    DOI: 10.1111/jtsa.12817
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