WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

It is well known that, under suitable regularity conditions, the normalized fractional process with fractional parameter d converges weakly to fractional Brownian motion (fBm) for d > {1/2 . We show that, for any nonnegative integer M, derivatives of order $m=0,1,\dots ,M$ of the normalized fractional process with respect to the fractional parameter d jointly converge weakly to the corresponding derivatives of fBm. As an illustration, we apply the results to the asymptotic distribution of the score vectors in the multifractional vector autoregressive model.