Consistency conjecture for the generalized Hermite-process spectral density estimator

Let Z(x,t)Z(x,t) satisfy Condition B and the previous assumptions, and let Fq(\Greekmath0115m)F_q({\Greekmath 0115}_m) and F^q(\Greekmath0115m)\widehat{F}_q({\Greekmath 0115}_m) be the corresponding population and sample quantities, with q>(12d~)1q>(1-2\widetilde{d}_{\ast})^{-1}. The frequencies are \Greekmath0115m{\Greekmath 0115}_m as defined above. Consistency conjecture. Under Condition B and the previous assumptions and notations on Z(x,t)Z(x,t), the estimator is consistent in probability:

F^q(\Greekmath0115m)Fq(\Greekmath0115m)p1.\frac{\widehat{F}_{q}({\Greekmath 0115}_m)}{F_{q}({\Greekmath 0115}_m)}\mathrel{\longrightarrow_p}1.

This is proposed as an analogue of Theorem 1 of Robinson (1994) for the generalized, nonlinear Hermite-process setting. The conjecture concerns consistency of the spectral-density estimator at the low frequency \Greekmath0115m{\Greekmath 0115}_m; the paper does not provide a resolution.

Sources & referencesView supporting material

Primary source

Alessia Caponera, Domenico Marinucci and Anna Vidotto, “Fractional Cointegration of Geometric Functionals”, arXiv:2507.10184 (2025).

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