Asymptotic Properties of Self-Normalized Linear Processes with Long Memory

Details Asymptotic Properties of Self-Normalized Linear Processes with Long Memory Asymptotic Properties of Self-Normalized Linear Processes with Long Memory

2010-06-08

arxiv.org/abs/1006.1572v3

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Methodology

23 pages, To appear in Econometric Theory

Scientific paper

In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with in?nite second moment. For the sake of applications we derive the self-normalized version of this theorem. The study is motivated by models arising in economical applications where often the linear processes have long memory, and the innovations have heavy tails.

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