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Author's abtract: A central limit theorem for strong mixing sequences is given that applies to both nonstationary sequences and triangular array settings. The result improves on an earlier central limit theorem for this type of dependence given by \textit{D. N. Politis} et al. in [J. Econom. 81, No. 2, 281--317 (1997; Zbl 0904.62059)]. Below are some excerpts from the author's introduction: For a survey of the literature on CLTs for mixing sequences we refer to, e.g., [\textit{P. Doukhan}, Mixing: Properties and examples. New York: Springer-Verlag (1994; Zbl 0801.60027); \textit{Z.-Y. Lin} and \textit{C.-R. Lu}, Limit theory for mixing dependent random variables. Dordrecht: Kluwer Academic Publishers. New York, NY: Science Press (1996; Zbl 0889.60001); \textit{R. C. Bradley}, Introduction to strong mixing conditions. Vol. 1. Heber City, UT: Kendrick Press (2007; Zbl 1133.60001); Vol. 2. Heber City, UT: Kendrick Press (2007; Zbl 1133.60002); Vol. 3. Heber City, UT: Kendrick Press (2007; Zbl 1134.60004)]. It should be noted that in addition to moment and mixing conditions, strict stationarity is assumed in many cases. An exception is Politis et al. [loc. cit.], who obtained a CLT which applies to both non-stationary sequences and triangular array settings. Let \(\{ X_{n,i}: 1\leq I \leq d_n \}\) be a triangular array of random variables and denote the strong mixing coefficient corresponding to the \(n\)th row by \(\alpha_{n}(\cdot)\). Define \(X_{n,d_{n}}=d^{-1}_{n}\sum^{d_{n}}_{i=1} X_{n,i}\), \({X}_{n,b,t} =b^{-1}\sum^{t+b-1}_{i=t} X_{n,i}\), and \(\sigma^{2}_{n,b,t}=\text{var}(b^{1/2}={X}_{n,b,t})\). Politis et al. [loc.\,cit., Theorem A.1; Subsampling. New York, NY: Springer (1999; Zbl 0931.62035), Theorem B.0.1] showed that \(d^{1/2}_{n}(=X_{n,d_{n}}-E ={X}_{n,d_{n}}) \) converges weakly to a normal distribution with mean zero and variance \(\sigma^{2}\) under the following conditions: for some \(\delta >0 \): {\parindent=9mm \begin{itemize}\item[(B1)]: \(\operatorname{E}| X_{n,i} - \operatorname{E}X_{n,i}|^{2+\delta} < c\), for some \(c > 0\) and all \(n, i, \) \item[(B2)]: for any sequence \(b_n\) that tends to infinity with \(n\), \( \sup_t | \sigma^2_{n, b_n, t} -\sigma^2 |\rightarrow 0\) as \(n\rightarrow\infty,\) \item[(B3)]: \(\sum^\infty_{k=0}(k+1)^2\alpha^{\frac{\delta}{4+\delta}}_n(k)<c\) for some \(c>0\) and all \(n\). \end{itemize}} Politis et al. [Zbl 0931.62035, p. 322] write that condition (B2) ``is not as restrictive as it might appear at first glance. In fact, it is difficult to imagine a reasonable situation where'' \(\sigma^{2}_{n, b_n, 1}\rightarrow \sigma^2\), ``but where condition (B2) is violated.'' In this paper, it is demonstrated that condition (B2) is superfluous, i.e., that a CLT is valid under conditions (B1) and (B3) only. | |||
Property / review text: Author's abtract: A central limit theorem for strong mixing sequences is given that applies to both nonstationary sequences and triangular array settings. The result improves on an earlier central limit theorem for this type of dependence given by \textit{D. N. Politis} et al. in [J. Econom. 81, No. 2, 281--317 (1997; Zbl 0904.62059)]. Below are some excerpts from the author's introduction: For a survey of the literature on CLTs for mixing sequences we refer to, e.g., [\textit{P. Doukhan}, Mixing: Properties and examples. New York: Springer-Verlag (1994; Zbl 0801.60027); \textit{Z.-Y. Lin} and \textit{C.-R. Lu}, Limit theory for mixing dependent random variables. Dordrecht: Kluwer Academic Publishers. New York, NY: Science Press (1996; Zbl 0889.60001); \textit{R. C. Bradley}, Introduction to strong mixing conditions. Vol. 1. Heber City, UT: Kendrick Press (2007; Zbl 1133.60001); Vol. 2. Heber City, UT: Kendrick Press (2007; Zbl 1133.60002); Vol. 3. Heber City, UT: Kendrick Press (2007; Zbl 1134.60004)]. It should be noted that in addition to moment and mixing conditions, strict stationarity is assumed in many cases. An exception is Politis et al. [loc. cit.], who obtained a CLT which applies to both non-stationary sequences and triangular array settings. Let \(\{ X_{n,i}: 1\leq I \leq d_n \}\) be a triangular array of random variables and denote the strong mixing coefficient corresponding to the \(n\)th row by \(\alpha_{n}(\cdot)\). Define \(X_{n,d_{n}}=d^{-1}_{n}\sum^{d_{n}}_{i=1} X_{n,i}\), \({X}_{n,b,t} =b^{-1}\sum^{t+b-1}_{i=t} X_{n,i}\), and \(\sigma^{2}_{n,b,t}=\text{var}(b^{1/2}={X}_{n,b,t})\). Politis et al. [loc.\,cit., Theorem A.1; Subsampling. New York, NY: Springer (1999; Zbl 0931.62035), Theorem B.0.1] showed that \(d^{1/2}_{n}(=X_{n,d_{n}}-E ={X}_{n,d_{n}}) \) converges weakly to a normal distribution with mean zero and variance \(\sigma^{2}\) under the following conditions: for some \(\delta >0 \): {\parindent=9mm \begin{itemize}\item[(B1)]: \(\operatorname{E}| X_{n,i} - \operatorname{E}X_{n,i}|^{2+\delta} < c\), for some \(c > 0\) and all \(n, i, \) \item[(B2)]: for any sequence \(b_n\) that tends to infinity with \(n\), \( \sup_t | \sigma^2_{n, b_n, t} -\sigma^2 |\rightarrow 0\) as \(n\rightarrow\infty,\) \item[(B3)]: \(\sum^\infty_{k=0}(k+1)^2\alpha^{\frac{\delta}{4+\delta}}_n(k)<c\) for some \(c>0\) and all \(n\). \end{itemize}} Politis et al. [Zbl 0931.62035, p. 322] write that condition (B2) ``is not as restrictive as it might appear at first glance. In fact, it is difficult to imagine a reasonable situation where'' \(\sigma^{2}_{n, b_n, 1}\rightarrow \sigma^2\), ``but where condition (B2) is violated.'' In this paper, it is demonstrated that condition (B2) is superfluous, i.e., that a CLT is valid under conditions (B1) and (B3) only. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6363288 / rank | |||
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Property / zbMATH Keywords | |||
central limit theorem | |||
Property / zbMATH Keywords: central limit theorem / rank | |||
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Property / zbMATH Keywords | |||
strong mixing sequences | |||
Property / zbMATH Keywords: strong mixing sequences / rank | |||
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non-stationary sequences | |||
Property / zbMATH Keywords: non-stationary sequences / rank | |||
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triangular array | |||
Property / zbMATH Keywords: triangular array / rank | |||
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weakly approaching sequences | |||
Property / zbMATH Keywords: weakly approaching sequences / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Tae Il. Jeon / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.spl.2014.07.024 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2040738104 / rank | |||
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Property / cites work | |||
Property / cites work: Q4939943 / rank | |||
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Property / cites work: Weakly approaching sequences of random distributions / rank | |||
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Property / cites work: Q5293978 / rank | |||
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Property / cites work: The Invariance Principle for Stationary Processes / rank | |||
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Property / cites work: Mixing: Properties and examples / rank | |||
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Property / cites work: Q4335412 / rank | |||
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Property / cites work: Subsampling for heteroskedastic time series / rank | |||
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Property / cites work: Subsampling / rank | |||
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Property / cites work: A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 06:31, 9 July 2024
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English | A general central limit theorem for strong mixing sequences |
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A general central limit theorem for strong mixing sequences (English)
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3 November 2014
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Author's abtract: A central limit theorem for strong mixing sequences is given that applies to both nonstationary sequences and triangular array settings. The result improves on an earlier central limit theorem for this type of dependence given by \textit{D. N. Politis} et al. in [J. Econom. 81, No. 2, 281--317 (1997; Zbl 0904.62059)]. Below are some excerpts from the author's introduction: For a survey of the literature on CLTs for mixing sequences we refer to, e.g., [\textit{P. Doukhan}, Mixing: Properties and examples. New York: Springer-Verlag (1994; Zbl 0801.60027); \textit{Z.-Y. Lin} and \textit{C.-R. Lu}, Limit theory for mixing dependent random variables. Dordrecht: Kluwer Academic Publishers. New York, NY: Science Press (1996; Zbl 0889.60001); \textit{R. C. Bradley}, Introduction to strong mixing conditions. Vol. 1. Heber City, UT: Kendrick Press (2007; Zbl 1133.60001); Vol. 2. Heber City, UT: Kendrick Press (2007; Zbl 1133.60002); Vol. 3. Heber City, UT: Kendrick Press (2007; Zbl 1134.60004)]. It should be noted that in addition to moment and mixing conditions, strict stationarity is assumed in many cases. An exception is Politis et al. [loc. cit.], who obtained a CLT which applies to both non-stationary sequences and triangular array settings. Let \(\{ X_{n,i}: 1\leq I \leq d_n \}\) be a triangular array of random variables and denote the strong mixing coefficient corresponding to the \(n\)th row by \(\alpha_{n}(\cdot)\). Define \(X_{n,d_{n}}=d^{-1}_{n}\sum^{d_{n}}_{i=1} X_{n,i}\), \({X}_{n,b,t} =b^{-1}\sum^{t+b-1}_{i=t} X_{n,i}\), and \(\sigma^{2}_{n,b,t}=\text{var}(b^{1/2}={X}_{n,b,t})\). Politis et al. [loc.\,cit., Theorem A.1; Subsampling. New York, NY: Springer (1999; Zbl 0931.62035), Theorem B.0.1] showed that \(d^{1/2}_{n}(=X_{n,d_{n}}-E ={X}_{n,d_{n}}) \) converges weakly to a normal distribution with mean zero and variance \(\sigma^{2}\) under the following conditions: for some \(\delta >0 \): {\parindent=9mm \begin{itemize}\item[(B1)]: \(\operatorname{E}| X_{n,i} - \operatorname{E}X_{n,i}|^{2+\delta} < c\), for some \(c > 0\) and all \(n, i, \) \item[(B2)]: for any sequence \(b_n\) that tends to infinity with \(n\), \( \sup_t | \sigma^2_{n, b_n, t} -\sigma^2 |\rightarrow 0\) as \(n\rightarrow\infty,\) \item[(B3)]: \(\sum^\infty_{k=0}(k+1)^2\alpha^{\frac{\delta}{4+\delta}}_n(k)<c\) for some \(c>0\) and all \(n\). \end{itemize}} Politis et al. [Zbl 0931.62035, p. 322] write that condition (B2) ``is not as restrictive as it might appear at first glance. In fact, it is difficult to imagine a reasonable situation where'' \(\sigma^{2}_{n, b_n, 1}\rightarrow \sigma^2\), ``but where condition (B2) is violated.'' In this paper, it is demonstrated that condition (B2) is superfluous, i.e., that a CLT is valid under conditions (B1) and (B3) only.
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central limit theorem
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strong mixing sequences
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non-stationary sequences
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triangular array
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weakly approaching sequences
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