A central limit theorem for stationary linear processes generated by linearly positively quadrant-dependent processes (Q5934113): Difference between revisions

Let \(\{X_t, t= 0,1,2,\dots\}\) be a stationary linear process of the form \(X_t= \sum^\infty_{j= 0} a_j\varepsilon_{t-j}\), where \(\{a_j\}\) is a sequence of real numbers with \(\sum^\infty_{j= 0}|a_j|< \infty\) and \(\{\varepsilon_t\}\) is a strictly stationary linearly positive quadrant dependent process with \(E\varepsilon_t= 0\), \(0< E\varepsilon^2_t< \infty\). Assume \(0< \sigma^2= E\varepsilon^2_1+ 2\sum^\infty_{t= 2} E(\varepsilon_1 \varepsilon_t)< \infty\), \(\sum^\infty_{t= n+1} E(\varepsilon_1 \varepsilon_t)= O(n^{-\rho})\) for some \(\rho> 0\), and \(E|\varepsilon_t|^s< \infty\) for some \(s> 2\). The authors show that the linear process \(\{X_t\}\) satisfies the central limit theorem and the functional central limit theorem.