Multivariate limits of multilinear polynomial-form processes with long memory

Abstract: We consider the multilinear polynomial-form process [X(n)=\sum_{1\le i_1<\ldots<i_k<\infty}a_{i_1}\ldots a_{i_k}\epsilon_{n-i_1}\ldots\epsilon_{n-i_k},] obtained by applying a multilinear polynomial-form filter to i.i.d.\ sequence ${\epsilon_i}$ where ${a_i}$ is regularly varying. The resulting sequence ${X(n)}$ will then display either short or long memory. Now consider a vector of such X(n), whose components are defined through different ${a_i}$'s, that is, through different multilinear polynomial-form filters, but using the same ${\epsilon_i}$. What is the limit of the normalized partial sums of the vector? We show that the resulting limit is either a) a multivariate Gaussian process with Brownian motion as marginals, or b) a multivariate Hermite process, or c) a mixture of the two. We also identify the independent components of the limit vectors.