On the asymptotic expansion of the empirical process of long-memory moving averages

• 成果类型: Article
• 署名作者: Ho, HC; Hsing, TL
• 署名单位: Texas A&M University System; Texas A&M University College Station
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1996
• 页码: 992-1024
• 关键词: linear-processes; LIMIT-THEOREMS; CONVERGENCE; rates

摘要

Let X(n) = Sigma(i=1)(infinity)a(i) epsilon(n-i), where the epsilon(i) are iid with mean 0 and finite fourth moment and the a(i) are regularly varying with index -beta where beta is an element of (1/2, 1) so that (X(n)) has long-range dependence. This covers an important class of the fractional ARIMA process. For r greater than or equal to 0, let Y-N,Y-r = Sigma(n=1)(N) Sigma(1 less than or equal to j1<...