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Abstract
In this paper we develop an asymptotic theory of aggregated linear processes, and determine in particular the limit distribution of a large class of linear and nonlinear functionals of such processes. Given a sample {Y1(N),…,Yn(N)} of the normalized Nfold aggregated process, we describe the limiting behavior of statistics TN,n= TN,n(Y1(N),…, Yn(N)) in both of the cases n/N(n) → 0 and N(n)/n → 0, assuming either a ‘limiting long or shortmemory’ condition on the underlying linear process.
Original language  English 

Pages (fromto)  520544 
Journal  Advances in Applied Probability 
Volume  45 
Issue number  2 
DOIs  
Publication status  Published  2013 
Fields of Expertise
 Information, Communication & Computing
Treatment code (Nähere Zuordnung)
 Basic  Fundamental (Grundlagenforschung)
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Asymptotic and Statistical Analysis of Time Series in Economy and Finance
Hörmann, S., Schauer, J., Berkes, I. & Jirak, J. M.
1/01/02 → …
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