Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties
分析了当自回归和移动平均根接近1时，具有ARMA(1,1)结构的过程的部分和极限行为，并考虑了时变波动性和持久性，展示了MA和AR滤波器邻域半径如何相互作用并影响不变原理。
ABSTRACT This note analyzes the limiting behavior of suitably normalized partial sums of processes with an ARMA(1,1) structure when the AR and MA roots are in various types of neighborhoods of 1 and , respectively. In doing so, we allow for time‐varying volatility and persistence. Our results show how the radii of neighborhoods in the MA and AR filters interact and affect the corresponding invariance principles.