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Paper detail

Limit theorems for multivariate long-range dependent processes

This article considers multivariate linear processes whose components are either short- or long-range dependent. The functional central limit theorems for the sample mean and the sample autocovariances for these processes are investigated, paying special attention to the mixed cases of short- and long-range dependent series. The resulting limit processes can involve multivariate Brownian motion marginals, operator fractional Brownian motions and matrix-valued versions of the so-called Rosenblatt process.

preprint2020arXivOpen access
Marie-Christine Düker
math.PR
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Marie-Christine Düker

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