asymptotics for general nonstationary fractionally integrated processes without prehistoric influence渐近对于一般非平稳的略微集成流程没有史前的影响.pdfVIP

JOURNAL OF APPLIED MATHEMATICS AND DECISION SCIENCES, 6(4), 255–269 c Copyright 2002, Lawrence Erlbaum Associates, Inc. Asymptotics for General Nonstationary Fractionally Integrated Processes without Prehistoric Influence QIYING WANG† qiying@.au CMA, School of Mathematical Science, The Australian National University, ACT 0200, 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 fractionally integrated processes having no influence from prehistory. Asymptotic distri- butions of sample autocovariances and sample autocorrelations based on these processes are also investigated. The problem arises naturally in discussing fractionally integrated processes when the processes starts at a given initial date. Keywords: Functional limit theorem, fractional processes, sample autocovariances and sample autocorrelations. 1. Introduction In recent times, there has been increasing interest in discussing the general fractional process {X } defined by t ∞ d (1 − B) X = u , u = , t = 1, 2, · · ·, (1) t t t j t−j j =0 where d −1/2 and t are i.i.d. random variables with zero mean and finite variance. The ut are taken to be summable linear processes, i.e., we assume ∞ | j | ∞. B is a backshift operator, and the fractional dif- j =0 ference operator (1 −B)γ is defined by its Maclaurin series (by its binomial expansion, if γ is an integer): ∞