Long-range dependence and the ranks of decompositions
Résumé
We review and compare different methodologies for studying the asymptotic behavior of partial sums of nonlinear functionals of the following type (équations voir document ci-joint) in the long-range dependence setting. Here (équations voir document ci-joint) is either a stationary mean-zero Gaussian process or a linear process. The methodologies, we consider, are based on different decompositions of the function h. This includes the decomposition of [Sur82] and of [HH97] in the case of linear processes. The so-called "rank" of these decompositions plays an essential role. We show that all ranks coincide when the function h is a polynomial.
Domaines
Sciences agricoles
Origine : Fichiers produits par l'(les) auteur(s)
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