Asymptotic Properties of Self-Normalized Linear Processes with Long Memory
Methodology
2016-11-25 v3 Statistics Theory
Statistics Theory
Abstract
In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem. The study is motivated by models arising in economical applications where often the linear processes have long memory, and the innovations have heavy tails.
Keywords
Cite
@article{arxiv.1006.1572,
title = {Asymptotic Properties of Self-Normalized Linear Processes with Long Memory},
author = {Magda Peligrad and Hailin Sang},
journal= {arXiv preprint arXiv:1006.1572},
year = {2016}
}
Comments
23 pages, To appear in Econometric Theory