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

B-Tier
Journal: Econometric Theory
Year: 2000
Volume: 16
Issue: 5
Pages: 643-666

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

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

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:16:y:2000:i:05:p:643-666_16
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25