A look at the quality of the approximation of the functional central limit theorem

DOI10.1016/S0165-1765(00)00253-6zbMATH Open0994.60032OpenAlexW2048318303MaRDI QIDQ1606288FDOQ1606288

Authors: Pierre Perron, Sylvie Mallet 

Publication date: 24 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00253-6

Recommendations

• The functional central limit theorem for ARMA-GARCH processes
• The functional central limit theorem for linear processes with strong near-epoch dependent innovations
• A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
• scientific article; zbMATH DE number 1779500
• Martingale approximations for sums of stationary processes.

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Cites Work

• Asymptotics for linear processes
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• A functional central limit theorem for weakly dependent sequences of random variables
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

This page was built for publication: A look at the quality of the approximation of the functional central limit theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1606288)