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VOL. 50 | 2006 Invariance principles for fractionally integrated nonlinear processes
Wei Biao Wu, Xiaofeng Shao

Editor(s) Jiayang Sun, Anirban DasGupta, Vince Melfi, Connie Page

Abstract

We obtain invariance principles for a wide class of fractionally integrated nonlinear processes. The limiting distributions are shown to be fractional Brownian motions. Under very mild conditions, we extend earlier ones on long memory linear processes to a more general setting. The invariance principles are applied to the popular R/S and KPSS tests.

Information

Published: 1 January 2006
First available in Project Euclid: 28 November 2007

zbMATH: 1268.60045
MathSciNet: MR2409061

Digital Object Identifier: 10.1214/074921706000000572

Subjects:
Primary: 60F17
Secondary: 62M10

Rights: Copyright © 2006, Institute of Mathematical Statistics

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