Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
给出了相依异质过程随机积分弱收敛的条件，适用于I(1)、I(2)、非平稳方差、近积分过程及连续时间逼近等估计理论。
This paper provides conditions to establish the weak convergence of stochastic integrals. The theorems are proved under the assumption that the innovations are strong mixing with uniformly bounded 2-h moments. Several applications of the results are given, relevant for the theories of estimation with I (1) processes, I (2) processes, processes with nonstationary variances, near-integrated processes, and continuous time approximations.