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The Sequential Empirical Process of Nonlinear Long-Range Dependent Random Vectors (1411.6442v3)
Published 24 Nov 2014 in math.PR
Abstract: Let $(G(X_j))_{j\geq1}$ 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.