Advances in Decision Sciences
Volume 6 (2002), Issue 4, Pages 255-269
doi:10.1155/S1173912602000184
Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
Qiying Wang1
, Yan-Xia Lin2
and Chandra Gulati2
1CMA, School of Mathematical Science, The Australian National University, 0200, ACT, Australia
2School of Mathematics and Applied Statistics, University of Wollongong, Wollongong 2522, NSW, Australia
Abstract
This paper derives a functional limit theorem for general nonstationary fractionally integrated processes having no influence from prehistory. Asymptotic distributions of sample autocovariances and sample autocorrelations based on these processes are also investigated. The problem arises naturally in discussing fractionally integrated processes when the processes starts at a given initial date.