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Weak convergence of multivariate fractional processes

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Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent interest on approximations for partial sums of stationary linear vector sequences. A functional central limit theorem for smoothed processes is analyzed under more general assumptions.

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en

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application/pdf

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http://eprints.lse.ac.uk/2322/1/Weak_Convergence_of_Multivariate_Fractional_Processes.pdf

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