The sequential empirical process of nonlinear long-range dependent random vectors

Jannis Buchsteiner, Technische Universität Dortmund, Technische Universität Dortmund
Let (G(Xj)j>1 be a multivariate subordinated Gaussian process, which exhibits long-range dependence. We study the asymptotic behaviour of the corresponding sequential empirical process under two different types of subordination. The limiting process is either a product of a deterministic function and a Hermite process as in the one-dimensional case or a sum of various processes of this kind.
doi:10.17877/de290r-16339 fatcat:tq2mbxmfgvfd3lrarqxwbjcsju