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Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence

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Date

2002

Authors

Wang, Qiying
Lin, Yang Xia
Gulati, Chandra M

Journal Title

Journal ISSN

Volume Title

Publisher

Hindawi Publishing Corporation

Abstract

This paper derives a functional limit theorem for general nonstationary fractionally integrated processes having no influence from prehistory. Asymptotic distributions of sample autocovariances and sample autocorrelations based on these processes are also investigated. The problem arises naturally in discussing fractionally integrated processes when the processes starts at a given initial date.

Description

Keywords

Keywords: Fractional processes; Functional limit theorem; Sample autocovariances and sample autocorrelations

Citation

URI

http://hdl.handle.net/1885/91683

Collections

ANU Research Publications

Source

Journal of Applied Mathematics and Decision Sciences

Type

Journal article

Book Title

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