A functional central limit theorem for weakly dependent sequences of random variables

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Cited in

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Understanding spurious regressions in econometrics
Invariance principles under weak dependence
Rates of convergence for classes of functions: The non-i.i.d. case
Invariance principles under a two-part mixing assumption
A random CLT for dependent random variables
Common nonstationary components of asset prices
Trends and random walks in macroeconomic time series
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
Heteroskedastic cointegration
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
Alternative forms of fractional Brownian motion
Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples
The sample autocorrelation function of I(1) processes
Local asymptotic distribution related to the AR(1) model with dependent errors
Deciding between I(1) and I(0)
Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
Rank test for heteroscedastic functional data
Central limit theory for the number of seeds in a growth model in \(\mathbb{R}^ d\) with inhomogeneous Poisson arrivals
Regression with integrated regressors
Semiparametric unit root tests based on symmetric estimators
Weak convergence of multivariate fractional processes
A look at the quality of the approximation of the functional central limit theorem
A likelihood ratio type test for invertibility in moving average processes
Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
Bounded integrated processes and unit root tests
Tests of specification for parametric and semiparametric models
Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
Nonparametric tests for unit roots and cointegration.
Tests for the order of integration against higher order integration
Residual-based tests for cointegration in models with regime shifts
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
A multiple variance ratio test using subsampling
Restoring monotone power in the CUSUM test
Estimation of weak ARMA models with regime changes
Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
A novel change-point approach for the detection of gas emission sources using remotely contained concentration data
Adjusted-range self-normalized confidence interval construction for censored dependent data
A score statistic for testing the presence of a stochastic trend in conditional variances
Block bootstrapping for a panel mean break test
Estimating FARIMA models with uncorrelated but non-independent error terms
A moment-based notion of time dependence for functional time series
The functional central limit theorem for the multivariate MS-ARMA-GARCH model
Substationarity for spatial point processes
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
A nonstandard empirical likelihood for time series
Variations of the solution to a stochastic heat equation
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Fréchet differentiability in statistical inference for time series
Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
Unit root testing in the presence of heavy-tailed GARCH errors
Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
On the isotonic change-point problem
A unified approach to self-normalized block sampling
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
Testing for unit root processes in random coefficient autoregressive models
Mixing conditions, central limit theorems, and invariance principles: A survey of the literature with some new results on heteroscedastic sequences
A Consistent Estimator for Linear Models with Dependent Observations
A functional central limit theorem for strongly mixing sequences of random variables
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
Statistics of transitions for Markov chains with periodic forcing
Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
scientific article; zbMATH DE number 3905523 (Why is no real title available?)
scientific article; zbMATH DE number 3967571 (Why is no real title available?)
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
Basic structure of the asymptotic theory in dynamic nonlinear econometric models
Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
A test of normality using nonparametrlic residuals
scientific article; zbMATH DE number 3434818 (Why is no real title available?)
scientific article; zbMATH DE number 1995546 (Why is no real title available?)
Asymptotics for unit root tests under Markov regime‐switching
NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
A general asymptotic scheme for inference under order restrictions
On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations
An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
scientific article; zbMATH DE number 915663 (Why is no real title available?)
scientific article; zbMATH DE number 1457237 (Why is no real title available?)
Unsupervised self-normalized change-point testing for time series
Non-Markovian state-dependent networks in critical loading
Asymptotics for semi-strong augmented GARCH(1,1) model
Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
Testing first-order spherical symmetry of spatial point processes
Wavelet Estimator in Nonparametric Regression Model with Dependent Error’s Structure
A self-normalized semi-parametric test to detect changes in the long memory parameter
Asymptotic behavior of optimal weighting in generalized self-normalization for time series
Slepian wavelet variances for regularly and irregularly sampled time series
Testing stationarity and trend stationarity against the unit root hypothesis
Robust forecast comparison
Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
Nonmonotonic power for tests of a mean shift in a time series§
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
Alternative Tests for Parameter Stability
The Central Limit Theorem for Some Weakly Dependent Sequences
NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
The lower regression function and testing expectation dependence dominance hypotheses

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