CENTRAL LIMIT THEOREMS FOR WEIGHTED SUMS OF LINEAR PROCESSES: LP -APPROXIMABILITY VERSUS BROWNIAN MOTION

DOI10.1017/S0266466608090282zbMath1277.62174MaRDI QIDQ3181945

Kairat T. Mynbaev

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Brownian motion (60J65)

Related Items (5)

Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices ⋮ Weak convergence of linear and quadratic forms and related statements on \(L_p\)-approximability ⋮ Random central limit theorems for linear processes with weakly dependent innovations ⋮ Regressions with asymptotically collinear regressors ⋮ Unnamed Item

Cites Work

• On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
• The central limit theorem for time series regression
• Asymptotics for linear processes
• Second-order regular variation and rates of convergence in extreme-value theory
• Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model
• THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• \(L_p\)-approximable sequences of vectors and limit distribution of quadratic forms of random variables
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