The Self-normalized Asymptotic Results for Linear Processes

DOI10.1007/978-1-4939-3076-0_3zbMath1368.60025OpenAlexW2501847228MaRDI QIDQ5272940

Hailin Sang, Magda Peligrad

Publication date: 5 July 2017

Published in: Asymptotic Laws and Methods in Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-3076-0_3

zbMATH Keywords

functional central limit theoremtime seriescentral limit theoremlinear processesself-normalization

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

Self-normalized limit theorems for linear processes generated by \(\rho\)-mixing innovations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Functional central limit theorems for self-normalized partial sums of linear processes
• Central limit theorem for linear processes with infinite variance
• A remark on self-normalization for dependent random variables
• Limit theorems for self-normalized linear processes
• Asymptotics for linear processes
• When is the Student \(t\)-statistic asymptotically standard normal?
• Donsker's theorem for self-normalized partial sums processes
• Martingale approximations for sums of stationary processes.
• Long memory processes and fractional integration in econometrics
• A central limit theorem for self-normalized sums of a linear process
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY