Convergence of integral functionals of stochastic processes

Econometric Theory

Volumn 22, Issue 2, 2006, Pages 304-322

  Berkes, István ^a   Horváth, Lajos ^b  

^a GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

^b UNIVERSITY OF UTAH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644898087     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466606060130     Document Type: Article

References (17)

1. Bingham, N.H., C.M. Goldie, & J.L. Teugels (1987) Regular Variation. Cambridge University Press.
2. Brockwell, P.J. & R.A. Davis (1991) Time Series: Theory and Methods, 2nd ed. Springer-Verlag.
3. Davydov, Yu. (1970) The invariance principle for stationary processes. Theory of Probability and Its Applications 15, 487-498.
4. De Jong, R. (2004) Addendum to "Asymptotics for nonlinear transformation of integrated time series." Econometric Theory 20, 623-635.
5. De Jong, R. & C. Wang (2005) Further results on the asymptotics for nonlinear transformation of integrated time series. Econometric Theory 21, 413-430.
6. Geman, D. & J. Horowitz (1980) Occupation densities. Annals of Probability 8, 1-67.
7. Halmos, P. (1950) Measure Theory. Van Nostrand.
8. Hewitt, E. & K. Stromberg (1969) Real and Abstract Analysis. Springer-Verlag.
9. Horváth, L. & P. Kokoszka (1997) The effect of long-range dependence on change-point estimators. Journal of Statistical Planning and Inference 64, 57-81.
10. Jeganathan, P. (2004) Convergence of functional of sums of r.v.s to local times of fractional stable motions. Annals of Probability 32, 1771-1795.
11. Karatzas, I. & S.E. Shreve (1991) Brownian Motion and Stochastic Calculus, 2nd ed. Springer-Verlag.
12. Lukács, E. (1970) Characteristic Functions, 2nd ed. Griffin.
13. Park, J.Y. & P.C.B. Phillips (1999) Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15, 269-298.
14. Pötscher, B.M. (2004) Nonlinear functions and convergence to Brownian motion: Beyond the continuous mapping theorem. Econometric Theory 20, 1-22.
15. Riesz, F. & B. Szökefalvi-Nagy (1990) Functional Analysis. Dover.
16. Shorack, G.R. & J.A. Wellner (1986) Empirical Processes with Applications to Statistics. Wiley.
17. Taqqu, M.S. (1975) Weak convergence to fractional Brownian motion and to the Rosenblatt process. Zietschrift für Wahrscheinlichskeitstheorie und Verwandte Gebiete 31, 287-302.