The sequential empirical process of nonlinear long-range dependent random vectors

Loading...
Thumbnail Image

Date

2015

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Let (G(Xj)j>1 be a multivariate subordinated Gaussian process, which exhibits long-range dependence. We study the asymptotic behaviour of the corresponding sequential empirical process under two different types of subordination. The limiting process is either a product of a deterministic function and a Hermite process as in the one-dimensional case or a sum of various processes of this kind.

Description

Table of contents

Keywords

multivariate long-range dependence, subordinated Gaussian process, sequential empirical process

Citation