CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES

B-Tier
Journal: Econometric Theory
Year: 2006
Volume: 22
Issue: 2
Pages: 304-322

Authors (2)

Berkes, István (not in RePEc) Horváth, Lajos (University of Utah)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We investigate the convergence in distribution of integrals of stochastic processes satisfying a functional limit theorem. We allow a large class of continuous Gaussian processes in the limit. Depending on the continuity properties of the underlying process, local Lebesgue or Riemann integrability is required.We are grateful to the referees and Benedikt Pötscher for their helpful and constructive comments. The research of the first author was partially supported by OTKA grants T37668 and T43037 and NSF-OTKA grant INT-0223262. The research of the second author was partially supported by NATO grant PST.EAP.CLG 980599 and NSF-OTKA grant INT-0223262.

Technical Details

RePEc Handle
repec:cup:etheor:v:22:y:2006:i:02:p:304-322_06
Journal Field
Econometrics
Author Count
2
Added to Database
2026-02-02