Invariance principles for semi-stationary sequence of linear processes and applications to ARMA process

DOI10.1016/0304-4149(94)00082-5MaRDI QIDQ1899262zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 15 January 1996

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)00082-5

zbMATH Keywords

ARMA processesinvariance principlequasi-stationarymixingaleslinear semi-stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Recommendations

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• A note on the properties of some nonstationary ARMA processes
• Invariance principles and Gaussian approximation for strictly stationary processes

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• Asymptotics for linear processes
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Invariance principles for dependent variables
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On Gordin's central limit theorem for stationary processes
• On the invariance principle for nonstationary mixingales

Cited in

(1)

• Iterated logarithm law for sample generalized partial autocorrelations

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