Limit theorems for multivariate long-range dependent processes
Probability
2020-02-13 v4
Abstract
This article considers multivariate linear processes whose components are either short- or long-range dependent. The functional central limit theorems for the sample mean and the sample autocovariances for these processes are investigated, paying special attention to the mixed cases of short- and long-range dependent series. The resulting limit processes can involve multivariate Brownian motion marginals, operator fractional Brownian motions and matrix-valued versions of the so-called Rosenblatt process.
Cite
@article{arxiv.1704.08609,
title = {Limit theorems for multivariate long-range dependent processes},
author = {Marie-Christine Düker},
journal= {arXiv preprint arXiv:1704.08609},
year = {2020}
}