000			02006nam a22002537a 4500
003			ZW-GwMSU
005			20240326100541.0
008			240326b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aDavidson, James E. H. _eauthor
245	1	0	_aRepresentation and weak convergence of stochastic integrals with fractional integrator processes _ccreated by James Davidson and Nigar Hashimzade
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 6
520	3		_aThis paper considers the asymptotic distribution of the sample covariance of a nonstationary fractionally integrated process with the stationary increments of another such process—possibly itself. Questions of interest include the relationship between the harmonic representation of these random variables, which we have analyzed in a previous paper (Davidson and Hashimzade, 2008), and the construction derived from moving average representations in the time domain. Depending on the values of the long memory parameters and choice of normalization, the limiting integral is shown to be expressible as the sum of a constant and two Itô-type integrals with respect to distinct Brownian motions. In certain cases the latter terms are of small order relative to the former. The mean is shown to match that of the harmonic representation, where the latter is defined, and satisfies the required integration by parts rule. The advantages of our approach over the harmonic analysis include the facts that our formulas are valid for the full range of the long memory parameters and that they extend to non-Gaussian processes.
650			_aTheory _xStochastic process
700	1		_aHashimzade, Nigar _eco author
856			_uhttps://doi.org/10.1017/S0266466609990260
942			_2lcc _cJA
999			_c164564 _d164564