Asymptotics for Nonlinear Transformations of Fractionally Integrated Time Series

来源 :天津大学学报：英文版 | 被引量 : 0次 | 上传用户：hyy10123

【摘要】

：

The asymptotic theory for nonlinear transformations of fractionally integrated time series is developed.By the use of fractional Occupation Times Formula,variou

【作者】

：

李松臣张世英

【机构】

：

SehoolofSeiences,CollegeofMathematicsandComputationalScience,SchoolofManagement

【出处】

：

天津大学学报：英文版

【发表日期】

：

2007年5期

【关键词】

：

非线行转换时间序列分数运动 fractionally integrated processes additive transformations re

【基金项目】

：

Supported by National Natural Science Foundation of China （No. 70471050）.

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The asymptotic theory for nonlinear transformations of fractionally integrated time series is developed.By the use of fractional Occupation Times Formula,various nonlinear functions of fractionally integrated series such as ARFIMA time series are studied,

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Asymptotics for Nonlinear Transformations of Fractionally Integrated Time Series

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