Testing serial non-independence by self-centring and self-normalizing
DOI10.1080/02331880802506551zbMATH Open1278.60050OpenAlexW2020383923MaRDI QIDQ3396491FDOQ3396491
Authors: Xin-Xin Jiang, Marjorie G. Hahn 
Publication date: 18 September 2009
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331880802506551
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self-normalizationmixingexchangeablestationaryrandom walk modelempirical central limit theoremconditionally mixingself-centringstock daily returns
Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Exchangeability for stochastic processes (60G09)
Cites Work
- Dependent central limit theorems and invariance principles
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- When is the Student \(t\)-statistic asymptotically standard normal?
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- A Theorem on Products of Random Variables, With Application to Regression
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- On conditionally mixing processes
- The central limit theorem for exchangeable random variables without moments
- Empirical central limit theorems for exchangeable random variables
- Testing that marginal sequences of data are not independent via self-normalization
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