On linear processes with dependent innovations

DOI10.1016/j.spa.2005.01.001zbMath1081.62071MaRDI QIDQ2485859

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.01.001

zbMATH Keywords

Nonlinear time series; Linear process; Covariance; GARCH model; Central limit theorem; Invariance principle

Mathematics Subject Classification ID

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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