Location of Repository

Representation Theory for Stochastic Integrals with Fractional Integrator Processes

By James Davidson and Nigar Hashimzade

Abstract

This paper considers large sample approximations to the covariances of a nonstationary fractionally integrated processes with the stationary increments of another such process – possibly, itself. Questions of interest include the relationship between the harmonic representation of these random variables, which we have analysed in a previous paper, and the construction derived from moving average representations in the time domain. The limiting integrals are shown to be expressible in terms of functionals of Itô integrals with respect to two distinct Brownian motions. They have an unexpectedly complex structure but possess the required characteristics, in particular an integration by parts formula. The advantages of our approach over the harmonic analysis include the facts that our formulas are valid for the full range of the long memory parameters, and extend to non-Gaussian processes

Topics: Stochastic integral, fractional Brownian motion
Year: 2007
OAI identifier: oai:CiteSeerX.psu:10.1.1.186.9229
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.nottingham.ac.uk/ec... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.