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Abstract:

Econometrics Paper
Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)
D Marinucci and Peter M Robinson July 1998
Paper No' EM/1998/352:
Full Paper (pdf)

Tags: nonstationary fractional integration; functional central limit theorem

Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent interest on approximations for partial sums of stationary linear vector sequences. A functional central limit theorem for smoothed processes is analyzed under more general assumptions.