The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations

被引：1

作者：

Qiu Jin ^{[1
]}

Lin ZhengYan ^{[2
]}

机构：

[1] Zhejiang Univ Finance & Econ, Sch Math & Stat, Hangzhou 310018, Peoples R China

[2] Zhejiang Univ, Dept Math, Hangzhou 310028, Peoples R China

来源：

SCIENCE CHINA-MATHEMATICS | 2011年 / 54卷 / 01期

基金：

中国国家自然科学基金;

关键词：

near-epoch dependence; strong near-epoch dependence; invariance principle; fractionally integrated processes; CENTRAL-LIMIT-THEOREM; UNIT-ROOT; RANDOM-VARIABLES;

D O I：

10.1007/s11425-010-4140-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we show the invariance principle for the partial sum processes of fractionally integrated processes, otherwise known as I(d + m) processes, where |d| < 1/2 and m is a nonnegative integer, with strong near-epoch dependent innovations. The results are applied to the test of unit root. The conditions given improve previous results in the literature concerning fractionally integrated processes.

引用

页码：117 / 132

页数：16

共 12 条

[1] The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
Jin Qiu
ZhengYan Lin
Science China Mathematics, 2011, 54 : 117 - 132
[2] The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
QIU Jin1 & LIN ZhengYan2 1School of Mathematics and Statistics
2Department of Mathematics
ScienceChina(Mathematics), 2011, 54 (01) : 117 - 132
[3] The functional central limit theorem for linear processes with strong near-epoch dependent innovations
Qiu, Jin
Lin, Zhengyan
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2011, 376 (01) : 373 - 382
[4] Strong near-epoch dependence
Lin, ZY
SCIENCE IN CHINA SERIES A-MATHEMATICS, 2004, 47 (04): : 497 - 507
[5] Strong near-epoch dependence
LIN ZhengyanDepartment of Mathematics
Science China Mathematics, 2004, (04) : 497 - 507
[6] Strong near-epoch dependence
Zhengyan Lin
Science in China Series A: Mathematics, 2004, 47 : 497 - 507
[7] The variance of partial sums of strong near-epoch dependent variables
Qiu, Jin
Lin, Zhengyan
STATISTICS & PROBABILITY LETTERS, 2006, 76 (17) : 1845 - 1854
[8] A central limit theorem for strong near-epoch dependent random variables
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Qiu, J
CHINESE ANNALS OF MATHEMATICS SERIES B, 2004, 25 (02) : 263 - 274
[9] A CENTRAL LIMIT THEOREM FOR STRONG NEAR-EPOCH DEPENDENT RANDOM VARIABLES
LIN ZHENGYAN QIU JIN Department of Mathematics
ChineseAnnalsofMathematics, 2004, (02) : 263 - 274
[10] Invariance principles for tempered fractionally integrated processes
Sabzikar, Farzad
Surgailis, Donatas
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018, 128 (10) : 3419 - 3438

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