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• W2127993225 abstract "In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem. The study is motivated by models arising in economic applications where often the linear processes have long memory, and the innovations have heavy tails." @default.
• W2127993225 created "2016-06-24" @default.
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• W2127993225 date "2011-11-25" @default.
• W2127993225 modified "2023-09-25" @default.
• W2127993225 title "ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY" @default.
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• W2127993225 doi "https://doi.org/10.1017/s026646661100065x" @default.
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