A law of large numbers and central limit theorem for the logarithm of an autoregressive process with a stationary driving sequence

DOI10.1016/j.spl.2008.11.027zbMath1162.60316OpenAlexW2017541882MaRDI QIDQ1017805

F. C. Shu

Publication date: 12 May 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.11.027

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

Cites Work

• Strict stationarity of generalized autoregressive processes
• Random difference equations and renewal theory for products of random matrices
• Regular variation in the tail behaviour of solutions of random difference equations
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Existence of moments in a stationary stochastic difference equation
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• On the Continuity of the Distribution of a Sum of Dependent Variables Connected with Independent Walks on Lines
• Perpetuities with thin tails
• Unnamed Item

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