Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence英文文献资料.docVIP

JOURNALOFAPPLIEDMATHEMATICSANDDECISIONSCIENCES,6(4),255–269 Copyright c 2002,LawrenceErlbaumAssociates, Inc. Asymptotics for General Nonstationary Fractionally Integrated Processes without Prehistoric In?uence QIYING WANG? qiying@.au CMA,SchoolofMathematicalScience,TheAustralianNationalUniversity,ACT0200, Australia YAN-XIA LIN AND CHANDRA GULATI School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW 2522, Australia Abstract. This paper derives a functional limit theorem for general nonstationary fractionallyintegratedprocesseshavingnoin?uencefromprehistory. Asymptoticdistri- butionsofsampleautocovariancesandsampleautocorrelationsbasedontheseprocesses arealsoinvestigated. Theproblemarisesnaturallyindiscussingfractionallyintegrated processes whentheprocesses startsatagiveninitialdate. Keywords: Functionallimittheorem,fractionalprocesses,sampleautocovariancesand sampleautocorrelations. 1. Introduct ion In recent times, there has been increasing interest in discussing the general fract ional process {Xt} de?ned by X∞ (1?B)dXt = ut, ut = ψjt?j, t = 1,2,···, (1) j=0 where d ?1/2 and t are i.i.d. random variables with zero mean and ?nite variance. The u are taken to be summable linear processes, i.e., we P t ∞ assume |ψj|∞. B is a backshift operat or, and the fract ional dif- j=0 ference operat or (1?B)γ is de?ned by its Maclaurin series (by its binomial expansion, ifγ is an integer): X∞ Γ(Γ(?γ?)Γ(γ +j +j)1)Bj (1?B)γ = (2) j=0 ? Requestsforreprintsshouldbe senttoQiyingWang,CMA,SchoolofMathematical Science,TheAustralianNationalUniversity,ACT0200,Australia.  256 Q. WANG, Y-X LIN AND C. GULATI R where Γ(z) = ∞sz?1e?sds, if z 0; Γ(z) = ∞ if z = 0. If z 0, 0 Γ(z) is de?ned by the recursion formula zΓ(z) = Γ(z + 1). Thus X can be t expressed as X∞ Γ(?d + j) Γ(?d)Γ(j + 1)Xt?j = ut, t = 1,2,···, ifd = 0,1,2,··· ; (3) (4) j=0 and Xd d! (?1)jj!(d?j)! Xt?