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Keyword: nonstationary fractional integration;
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Peter M Robinson
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...
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...