Asymptotic results for long memory LARCH sequences

Authors
Berkes, István Horváth, Lajos
Citation
Berkes, István et Horváth, Lajos, Asymptotic results for long memory LARCH sequences, Annals of applied probability , 13(2), 2003, pp. 641-668
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
13
Issue
2
Year of publication
2003
Pages
641 - 668
Database
ACNP
SICI code
Abstract
For a LARCH ("linear ARCH") sequence (yn,.n) exhibiting long range dependence, we determine the limiting distribution of sums .f(yn), .f(.n) for smooth functions f satisfying E(y0f.(y0)).0, E(.0f.(.0)).0. We also give an approximation formula for the above sums, providing the first term of the asymptotic expansions of .f(yn),\break.f(.n).