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.
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© 1996 Springer-Verlag New York, Inc.
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Hosoya, Y. (1996). Some limit theorems on stationary processes with long-range dependence. In: Robinson, P.M., Rosenblatt, M. (eds) Athens Conference on Applied Probability and Time Series Analysis. Lecture Notes in Statistics, vol 115. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-2412-9_17
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DOI: https://doi.org/10.1007/978-1-4612-2412-9_17
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-94787-7
Online ISBN: 978-1-4612-2412-9
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