Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence

Qiying Wang; Yan Xia Lin; Chandra Gulati

doi:10.1207/s15327612jamd0604_6

Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence

Qiying Wang^*, Yan Xia Lin, Chandra Gulati

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

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. Copyright

Original language	English
Pages (from-to)	255-269
Number of pages	15
Journal	Journal of Applied Mathematics and Decision Sciences
Volume	6
Issue number	4
DOIs	https://doi.org/10.1207/s15327612jamd0604_6
Publication status	Published - 2003

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title = "Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence",

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. Copyright",

keywords = "Fractional processes, Functional limit theorem, Sample autocovariances and sample autocorrelations",

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AU - Wang, Qiying

AU - Lin, Yan Xia

AU - Gulati, Chandra

PY - 2003

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N2 - 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. Copyright

AB - 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. Copyright

KW - Fractional processes

KW - Functional limit theorem

KW - Sample autocovariances and sample autocorrelations

UR - http://www.scopus.com/inward/record.url?scp=38949103832&partnerID=8YFLogxK

U2 - 10.1207/s15327612jamd0604_6

DO - 10.1207/s15327612jamd0604_6

M3 - Article

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VL - 6

SP - 255

EP - 269

JO - Journal of Applied Mathematics and Decision Sciences

JF - Journal of Applied Mathematics and Decision Sciences

IS - 4

ER -

Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence

Abstract

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