A central limit theorem for self-normalized sums of a linear process

DOI10.1016/j.spl.2007.03.034zbMath1129.60024OpenAlexW2027921833MaRDI QIDQ2462075

Mindaugas Juodis, Alfredas Račkauskas

Publication date: 23 November 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.034

zbMATH Keywords

linear processnormal lawself-normalization

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Related Items (7)

Self-normalized limit theorems for linear processes generated by \(\rho\)-mixing innovations ⋮ On Beveridge-Nelson decomposition and limit theorems for linear random fields ⋮ Modified unit root tests with nuisance parameter free asymptotic distributions ⋮ Functional central limit theorems for self-normalized partial sums of linear processes ⋮ 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 ⋮ The Self-normalized Asymptotic Results for Linear Processes

Cites Work

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• Asymptotics for linear processes
• The integrated periodogram for stable processes
• Self-normalized large deviations
• When is the Student \(t\)-statistic asymptotically standard normal?
• Martingale approximations for sums of stationary processes.
• The Berry-Esseen bound for Student's statistic
• Limit distributions of self-normalized sums
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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