Convergence of integral functionals of stochastic processes

被引：17

作者：

Berkes, I

Horváth, L

机构：

[1] Graz Univ Technol, Dept Stat, A-8010 Graz, Austria

[2] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA

来源：

ECONOMETRIC THEORY | 2006年 / 22卷 / 02期

关键词：

D O I：

10.1017/S0266466606060130

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

We investigate the convergence in distribution of integrals of stochastic processes satisfying a functional limit theorem. We allow a large class of continuous Gaussian processes in the limit. Depending on the continuity properties of the underlying process, local Lebesgue or Riemann integrability is required.

引用

页码：304 / 322

页数：19

共 17 条

[1]

Bingham N. H., 1987, Regular Variation

[2]

Brockwell P. J., 1991, TIME SERIES THEORY M

[3]

INVARIANCE PRINCIPLE FOR STATIONARY PROCESSES [J].