Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes

@inproceedings{Davidson2008RepresentationAW,
  title={Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes},
  author={James Davidson},
  year={2008}
}
This paper considers the asymptotic distribution of the sample covariance of a nonstationary fractionally integrated process with the stationary increments of another such process –possibly, itself. Questions of interest include the relationship between the harmonic representation of these random variables, which we have analysed in a previous paper, and the construction derived from moving average representations in the time domain. Depending on the values of the long memory parameters and… CONTINUE READING

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