A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE

DOI10.1017/S0266466605050577MaRDI QIDQ3377447zbMATHOpenAlexFDO

Authors Jean-Michel Zakoïan, C. Francq

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466605050577

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

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Cites work

• A functional central limit theorem for weakly dependent sequences of random variables
• Central Limit Theorems for dependent variables. I
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Some Limit Theorems for Stationary Processes

Cited in

(12)

• Convergence of the empirical two-sample \(U\)-statistics with \(\beta\)-mixing data
• The central limit theorem for degenerate variable \(U\)-statistics under dependence
• HAC estimation and strong linearity testing in weak ARMA models
• Central limit theorem for quadratic errors of Nadaraya-Watson regression estimator under dependence
• Central limit theorems for \(\alpha\)-mixing triangular arrays with applications to nonparametric statistics
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Higher-order properties of approximate estimators
• Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
• Convergence rates in the functional CLT for \(\alpha\)-mixing triangular arrays
• Composite quantile periodogram for spectral analysis

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