Title: Limit theorems for multivariate long-range dependent processes
Authors: Marie-Christine Dueker - Ruhr University Bochum (Germany) [presenting]
Abstract: Over the last thirty years, long-range dependent stochastic processes become an important instrument for modeling phenomena in econometrics, engineering and hydrology to mention some examples. Moreover, the analysis of high-dimensional time series gets more attention. The study of different types of limit theorems under the assumption of multivariate long-range dependence is considered. This includes the behavior of partial sums of multivariate linear processes, subordinated Gaussian processes and the sample autocovariances. A suitable matrix-valued normalization sequence under the assumption of multivariate LRD, which could be of particular interest for further results in this context, is investigated.