Some limit theorems on stationary processes with long-range dependence

  • Yuzo Hosoya
Part of the Lecture Notes in Statistics book series (LNS, volume 115)

Abstract

The paper provides central limit theorems on multivariate stationary processes with long-range dependence as a natural extension of the corresponding theory on short-range dependent processes. In order to establish those theorems, the paper imposes weak assumptions on conditional moments of innovation processes, dispensing with the usual assumptions of exact Martingale difference or the contemporaneously transformed Gaussianity.

Keywords

Filtration Covariance 

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Copyright information

© Springer-Verlag New York, Inc. 1996

Authors and Affiliations

  • Yuzo Hosoya
    • 1
  1. 1.Tohoku UniversityJapan

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