Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151690 | Statistics & Probability Letters | 2013 | 13 Pages |
Abstract
Consider a vector of multilinear polynomial-form processes with either short or long memory components. The components have possibly different coefficients but same noise elements. We study the limit of the normalized partial sums of the vector and identify the independent components.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Shuyang Bai, Murad S. Taqqu,