Representation and weak convergence of stochastic integrals with fractional integrator processes

Author's pre-print draft dated September 2008. Final version published by Cambridge University Press; available online at http://journals.cambridge.org/This paper considers the asymptotic distribution of the sample covariance of a nonstationary fractionally integrated process with the stationary increments of another such process .possibly, itself. Questions of interest include the relationship between the harmonic representation of these random variables, which we have analysed in a previous paper, and the construction derived from moving average representations in the time domain. Depending on the values of the long memory parameters and choice of normalization, the limiting integral is shown to be expressible as the sum of a constant and two Itô-type integrals with respect to distinct Brownian motions. In certain cases the latter terms are of small order relative to the former. The mean is shown to match that of the harmonic representation, where the latter is defined, and satisfies the required integration by parts rule. The advantages of our approach over the harmonic analysis include the facts that our formulae are valid for the full range of the long memory parameters, and extend to non-Gaussian processes