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THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II

Fractionally Integrated Processes

Published online by Cambridge University Press:  05 October 2000

James Davidson
Affiliation:
Cardiff University
Robert M. de Jong
Affiliation:
Michigan State University

Abstract

This paper derives a functional central limit theorem for the partial sums of fractionally integrated processes, otherwise known as I(d) processes for |d| < 1/2. Such processes have long memory, and the limit distribution is the so-called fractional Brownian motion, having correlated increments even asymptotically. The underlying shock variables may themselves exhibit quite general weak dependence by being near-epoch-dependent functions of mixing processes. Several weak convergence results for stochastic integrals having fractional integrands and weakly dependent integrators are also obtained. Taken together, these results permit I(p + d) integrands for any integer p ≥ 1.

Type
Research Article
Copyright
© 2000 Cambridge University Press

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