Weak convergence to derivatives of fractional Brownian motion

Abstract

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 derivatives of order m = 1, 2, . . . of the normalized fractional process with respect to the fractional parameter d, 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.