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ArticleWeak convergence of multivariate fractional processes

Domenico Marinucci2000

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Articlebronze2000

Weak convergence of multivariate fractional processes

Domenico Marinucci · Peter M. Robinson

143 citations·0/0 files stored·Stochastic Processes and their Applications

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Complex Systems and Time Series Analysis Stochastic processes and financial applications Fractional Differential Equations Solutions

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References

1995Log-Periodogram Regression of Time Series with Long Range Dependence 1975Weak convergence to fractional brownian motion and to the rosenblatt process 1979Convergence of integrated processes of arbitrary Hermite rank 1999Alternative forms of fractional Brownian motion

Cited by

1999Narrow-Band Analysis Of Nonstationary Processes 2008Type I and type II fractional Brownian motions: A reconsideration 2006Simple (but effective) tests of long memory versus structural breaks 2003ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS 2015THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 2002Dynamic models of long-memory processes driven by Lévy noise 2015Instrumental variable and variable addition based inference in predictive regressions 2018Identifying Cointegration by Eigenanalysis

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Year2000

Typearticle

Published2000-03-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations143

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0304-4149(99)00088-5

openalex_workW2052631710

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