Random central limit theorem for the linear process generated by a strong mixing process

DOI10.1016/S0167-7152(97)00013-8zbMath0892.60038OpenAlexW2040837869MaRDI QIDQ1373989

Sangyeol Lee

Publication date: 17 December 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(97)00013-8

zbMATH Keywords

random central limit theoremBeveridge and Nelson decompositionlinear processes generated by strong mixing processesmoment bounds for strong mixing processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Sequential estimation (62L12)

Related Items (3)

Random central limit theorems for linear processes with weakly dependent innovations ⋮ Weak convergence for stationary bootstrap empirical processes of associated sequences ⋮ The functional CLT for linear processes generated by mixing random variables with infinite variance

Cites Work

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• Asymptotics for linear processes
• Mixing: Properties and examples
• A central limit theorem with random indices for stationary linear processes
• sequential estimation of the mean of a linear process
• A random functional central limit theorem for martingales
• Moment bounds for stationary mixing sequences
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Random central limit theorems for martingales
• On the central limit theorem for the sum of a random number of independent random variables
• On the central limit theorem for the sum of a random number of independent random variables

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