Invariance principles for semi-stationary sequence of linear processes and applications to ARMA process

DOI10.1016/0304-4149(94)00082-5zbMath0829.60019OpenAlexW2039450537MaRDI QIDQ1899262

Yanyan Li

Publication date: 15 January 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00082-5

zbMATH Keywords

invariance principleARMA processesquasi-stationarymixingaleslinear semi-stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Iterated logarithm law for sample generalized partial autocorrelations

Cites Work

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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotics for linear processes
• On the invariance principle for nonstationary mixingales
• On Gordin's central limit theorem for stationary processes
• Invariance principles for dependent variables
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach

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