[Download] Asymptotics for Fractional Processes PDF EPUB

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Asymptotics for Fractional Processes Summary

Asymptotics for Fractional Processes is a beautiful novel written by James Davidson. The book was published on Expected publication July 1, 2025 and is available in both PDF and EPUB formats. Below is the summary of “Asymptotics for Fractional Processes by James Davidson”:

Asymptotics for Fractional Processes develops an approach to the large-sample analysis of fractional partial-sum processes, featuring long memory increments. Long memory in a time series, equivalently called strong dependence, is usually defined to mean that the autocovariance sequence is non-summable. The processes studied have a linear moving average representation with a single parameter, denoted d, to measure the degree of long-run persistence. Long memory means that d is positive, while negative d defines a special type of short memory known as antipersistence in which the autocovariance sequence sums to zero. Antipersistent processes are treated in parallel with the long memory case. This book features the weak convergence of normalized partial sums to fractional Brownian motion and the limiting distribution of stochastic integrals where both the integrand and the integrator processes exhibit either long memory or antipersistence. It also covers applications to cointegration analysis and the treatment of dependent shock processes and includes chapters on the harmonic analysis of fractional models and local-to-unity autoregression.

Details About Asymptotics for Fractional Processes by James Davidson – eBook

• Title: Asymptotics for Fractional Processes
• Author: James Davidson
• Language: English
• Genres:
• Series:
• Published Date: Expected publication July 1, 2025
• Status: Available for Download
• Formats: PDF/EPUB
• [EPUB] Filename: Asymptotics_for_Fractional_Processes_-_James_Davidson.epub
• [PDF] Filename: Asymptotics_for_Fractional_Processes_-_James_Davidson.pdf
• EPUB File Size: 5.58 MB
• PDF File Size: 4.15 MB

[Download] Asymptotics for Fractional Processes by James Davidson PDF EPUB

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