Convergence rates in the central limit theorem for means of autoregressive and moving average sequences
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Publication:1201762
DOI10.1016/0304-4149(92)90079-6zbMath0762.60018OpenAlexW1973762403MaRDI QIDQ1201762
Publication date: 17 January 1993
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(92)90079-6
rate of convergencecovariance functioncentral limit theorem for means of autoregressive and moving average sequences
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)
Related Items (7)
Non-uniform rates of convergence for double arrays of independent random variables with applications ⋮ A Berry-Esseen bound with (almost) sharp dependence conditions ⋮ Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes. ⋮ Precise asymptotics in complete moment convergence of moving-average processes ⋮ On Berry-Esseen bounds for non-instantaneous filters of linear processes ⋮ UNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS ⋮ Spurious Regressions in Time Series with Long Memory
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- On the asymptotic behavior of trigonometric series. II
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
- The Invariance Principle for Stationary Processes
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