An empirical process central limit theorem for dependent non-identically distributed random variables

DOI10.1016/0047-259X(91)90039-5zbMATH Open0732.60026MaRDI QIDQ808514FDOQ808514

Authors: Donald W. K. Andrews 

Publication date: 1991

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

nonlinear time series modelstrongly mixing sequencescentral limit theorem for empirical processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Cites Work

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• Some Limit Theorems for Stationary Processes
• Adapting for heteroscedasticity in linear models
• A maximal inequality and dependent strong laws
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• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Invariance principles for dependent variables
• Robust methods and asymptotic theory in nonlinear econometrics
• A central limit theorem under metric entropy with \(L_ 2\) bracketing
• Almost sure invariance principles for weakly dependent vector-valued random variables
• Central Limit Theorems for dependent variables. I
• Limit theorems for sums of weakly dependent Banach space valued random variables
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• A nearly independent, but non-strong mixing, triangular array

Cited In (22)

• An empirical process central limit theorem for multidimensional dependent data
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
• Smoothed GMM for quantile models
• Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
• Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
• Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences
• \(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations
• The Central Limit Theorem for Empirical Processes Under Local Conditions: The Case of Radon Infinitely Divisible Limits without Gaussian Component
• A central limit theorem for strong near-epoch dependent random variables
• Title not available (Why is that?)
• A CLT for weighted time-dependent uniform empirical processes
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• An empirical central limit theorem for dependent sequences
• Evaluating forecast performance with state dependence
• Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals
• Weak convergence of stochastic processes indexed by smooth functions
• Spatial semiparametric model with endogenous regressors
• A CLT for empirical processes involving time-dependent data
• Quasi-likelihood estimation of a censored autoregressive model with exogenous variables
• The empirical distribution function for dependent variables: asymptotic and nonasymptotic results in ${\mathbb L}^p$
• Penalized least squares estimation with weakly dependent data

Uses Software

• nlmdl

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