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Invariance principles for fractionally integrated nonlinear processes

Authors
  • Wu, Wei Biao
  • Shao, Xiaofeng
Type
Published Article
Publication Date
Nov 23, 2006
Submission Date
Aug 09, 2006
Identifiers
DOI: 10.1214/074921706000000572
arXiv ID: math/0608223
Source
arXiv
License
Unknown
External links

Abstract

We obtain invariance principles for a wide class of fractionally integrated nonlinear processes. The limiting distributions are shown to be fractional Brownian motions. Under very mild conditions, we extend earlier ones on long memory linear processes to a more general setting. The invariance principles are applied to the popular R/S and KPSS tests.

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