Further Results on Convergence for Nonlinear Transformations of Fractionally Integrated Time Series

摘要

This paper presents some new results for the nonlinear transformations of the fractional integration process. Specifically, this paper reviews the weight fractional integration process with the Hurst parameter, 3/2 > d > 5/6 , and investigates the asymptotics of asymptotically homogeneous functional transformations of weight fractional integration process. These new results improve upon the earlier research of Tyurin and Phillips [1].