Invariance principles for fractionally integrated nonlinear processes
Abstract
Description
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.
Published at http://dx.doi.org/10.1214/074921706000000572 in the IMS Lecture Notes--Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
Published at http://dx.doi.org/10.1214/074921706000000572 in the IMS Lecture Notes--Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)