The sequential empirical process of nonlinear long-range dependent random vectors
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Date
2015
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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.
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Keywords
multivariate long-range dependence, subordinated Gaussian process, sequential empirical process