Asymptotic Theory for Curve-crossing Analysis
نویسندگان
چکیده
We consider asymptotic properties of curve-crossing counts of linear processes and nonlinear time series by curves. Central limit theorems are obtained for curve-crossing counts of short-range dependent processes. For the long-range dependence case, the asymptotic distributions are shown to be either multiple Wiener–Itô integrals or integrals with respect to stable Lévy processes, depending on the heaviness of tails of the underlying processes. c © 2006 Elsevier B.V. All rights reserved.
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تاریخ انتشار 2006