Asymptotics for Fractional Processes

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James Davidson (Professor of Econometrics (Emeritus), Professor of Econometrics (Emeritus), University of Exeter)

Asymptotics for Fractional Processes

James Davidson (Professor of Econometrics (Emeritus), Professor of Econometrics (Emeritus), University of Exeter)

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English

Oxford University Press
24 June 2025

Econometrics; Economic statistics; Probability & statistics; Stochastics

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.

By: James Davidson (Professor of Econometrics (Emeritus) Professor of Econometrics (Emeritus) University of Exeter)
Imprint: Oxford University Press
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm,
ISBN: 9780198955177
ISBN 10: 0198955170
Pages: 224
Publication Date: 24 June 2025
Audience: College/higher education , Further / Higher Education
Format: Hardback
Publisher's Status: Active

James Davidson is Professor of Econometrics (Emeritus) at the University of Exeter. He graduated from the University of Birmingham in 1973 and received an MSc in Mathematical Economics and Econometrics from the London School of Economics and Political Science (LSE) in 1975. Since then, he has held teaching posts at the University of Warwick, LSE, the University of Wales Aberystwyth, Cardiff University, and the University of Exeter as well as visiting positions at the University of California Berkeley, the University of California San Diego, Hong Kong University of Science and Technology, and Central European University. Davidson is the author of Stochastic Limit Theory (Second Edition, 2021), Introduction to Econometric Theory (2018), and Econometric Theory (2000).