Limit theorems in the context of multivariate long-range dependence
Dueker MC (2020)
Publication Type: Journal article
Publication year: 2020
Journal
Book Volume: 130
Pages Range: 5394-5425
Journal Issue: 9
DOI: 10.1016/j.spa.2020.03.011
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.
Involved external institutions
Germany (DE)How to cite
APA:
Dueker, M.-C. (2020). Limit theorems in the context of multivariate long-range dependence. Stochastic Processes and their Applications, 130(9), 5394-5425. https://dx.doi.org/10.1016/j.spa.2020.03.011
MLA:
Dueker, Marie-Christine. "Limit theorems in the context of multivariate long-range dependence." Stochastic Processes and their Applications 130.9 (2020): 5394-5425.
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