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    Multivariate limits of multilinear polynomial-form processes with long memory

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    Date Issued
    2013-11-01
    Publisher Version
    10.1016/j.spl.2013.06.027
    Author(s)
    Bai, Shuyang
    Taqqu, Murad S.
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    Permanent Link
    https://hdl.handle.net/2144/37506
    Version
    First author draft
    Citation (published version)
    Shuyang Bai, Murad S Taqqu. 2013. "Multivariate limits of multilinear polynomial-form processes with long memory." STATISTICS & PROBABILITY LETTERS, Volume 83, Issue 11, pp. 2473 - 2485 (13). https://doi.org/10.1016/j.spl.2013.06.027
    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.
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