ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY
研究了具有无限二阶矩独立新息的长记忆时间序列向分数布朗运动的收敛性，并推导了自正则化版本，适用于经济模型中长记忆和重尾新息的情形。
In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem. The study is motivated by models arising in economic applications where often the linear processes have long memory, and the innovations have heavy tails.