Invariance principles for fractionally integrated nonlinear processes
Probability
2007-06-13 v2 Statistics Theory
Statistics Theory
Abstract
We obtain invariance principles for a wide class of fractionally integrated nonlinear processes. The limiting distributions are shown to be fractional Brownian motions. Under very mild conditions, we extend earlier ones on long memory linear processes to a more general setting. The invariance principles are applied to the popular R/S and KPSS tests.
Cite
@article{arxiv.math/0608223,
title = {Invariance principles for fractionally integrated nonlinear processes},
author = {Wei Biao Wu and Xiaofeng Shao},
journal= {arXiv preprint arXiv:math/0608223},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/074921706000000572 in the IMS Lecture Notes--Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)