Further Results on Convergence for Nonlinear Transformations of Fractionally Integrated Time Series

Chien-Ho Wang

Department of Economics, National Taipei University, New Taipei City, Chinese Taipei.

DOI: 10.4236/tel.[phone]                

Abstract

This paper presents some new results for the nonlinear transformations of the fractional integration process. Specifically, this paper reviews the weight fractional integration process with the Hurst parameter, 3/2 > d > 5/6 , and investigates the asymptotics of asymptotically homogeneous functional transformations of weight fractional integration process. These new results improve upon the earlier research of Tyurin and Phillips [1].

Keywords

Long Memory; Fractional Brownian Motion; Tanaka Formula; Nonlinearity

Conflicts of Interest

The authors declare no conflicts of interest.

References

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