Søren Johansen, Morten Ørregaard Nielsen
arXiv 4 Aug 2022 · Mathematics — Probability · publishedEconometric Theory (2022)
arXiv:2208.02516 · PDF · DOI · OpenAlex · Extracted main text
It is well known that, under suitable regularity conditions, the normalized fractional process with fractional parameter $d$ converges weakly to fractional Brownian motion for $d>1/2$. We show that, for any non-negative integer $M$, derivatives of order $m=0,1,\dots,M$ of the normalized fractional process with respect to the fractional parameter $d$, jointly converge weakly to the corresponding derivatives of fractional Brownian motion. As an illustration we apply the results to the asymptotic distribution of the score vectors in the multifractional vector autoregressive model.
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