Strong Approximation for Long Memory Processes with Applications

Qiying Wang; Yan Xia Lin; Chandra M. Gulati

doi:10.1023/A:1023570510824

Strong Approximation for Long Memory Processes with Applications

Qiying Wang^*, Yan Xia Lin, Chandra M. Gulati

^*Corresponding author for this work

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

31 Citations (Scopus)

Abstract

In this paper we inverstigate the strong approximation of a linear process with long memory to a Gaussian process. The results are then applied to derive the law of the iterated logarithm and Darling-Erd″os type theorem for long memory processes under ideal conditions.

Original language	English
Pages (from-to)	377-389
Number of pages	13
Journal	Journal of Theoretical Probability
Volume	16
Issue number	2
DOIs	https://doi.org/10.1023/A:1023570510824
Publication status	Published - Apr 2003

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title = "Strong Approximation for Long Memory Processes with Applications",

abstract = "In this paper we inverstigate the strong approximation of a linear process with long memory to a Gaussian process. The results are then applied to derive the law of the iterated logarithm and Darling-Erd″os type theorem for long memory processes under ideal conditions.",

keywords = "Darling-Erd″os type theorem, Long memory process, Strong approximation, The law of the iterated logarithm",

author = "Qiying Wang and Lin, {Yan Xia} and Gulati, {Chandra M.}",

year = "2003",

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AU - Lin, Yan Xia

AU - Gulati, Chandra M.

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AB - In this paper we inverstigate the strong approximation of a linear process with long memory to a Gaussian process. The results are then applied to derive the law of the iterated logarithm and Darling-Erd″os type theorem for long memory processes under ideal conditions.

KW - Darling-Erd″os type theorem

KW - Long memory process

KW - Strong approximation

KW - The law of the iterated logarithm

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DO - 10.1023/A:1023570510824

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EP - 389

JO - Journal of Theoretical Probability

JF - Journal of Theoretical Probability

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ER -

Strong Approximation for Long Memory Processes with Applications

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