Invariance principles for semi-stationary sequence of linear processes and applications to ARMA process
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Publication:1899262
DOI10.1016/0304-4149(94)00082-5zbMath0829.60019MaRDI QIDQ1899262
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
invariance principle; ARMA processes; quasi-stationary; mixingales; linear semi-stationary processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
60F17: Functional limit theorems; invariance principles
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Cites Work
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Asymptotics for linear processes
- On the invariance principle for nonstationary mixingales
- On Gordin's central limit theorem for stationary processes
- Invariance principles for dependent variables
- Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
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