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

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...Read more...