Random central limit theorem for the linear process generated by a strong mixing process

DOI10.1016/S0167-7152(97)00013-8zbMATH Open0892.60038OpenAlexW2040837869MaRDI QIDQ1373989FDOQ1373989

Authors: Sangyeol Lee 

Publication date: 17 December 1997

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(97)00013-8

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zbMATH Keywords

random central limit theoremBeveridge and Nelson decompositionlinear processes generated by strong mixing processesmoment bounds for strong mixing processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sequential estimation (62L12) Stationary stochastic processes (60G10)

Cites Work

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• A central limit theorem with random indices for stationary linear processes
• A random functional central limit theorem for martingales
• Asymptotics for linear processes
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Mixing: Properties and examples
• Moment bounds for stationary mixing sequences
• On the central limit theorem for the sum of a random number of independent random variables
• On the central limit theorem for the sum of a random number of independent random variables
• Random central limit theorems for martingales
• sequential estimation of the mean of a linear process

Cited In (3)

• Random central limit theorems for linear processes with weakly dependent innovations
• The functional CLT for linear processes generated by mixing random variables with infinite variance
• Weak convergence for stationary bootstrap empirical processes of associated sequences

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