Central limit theorem for linear processes

• 成果类型: Article
• 署名作者: Peligrad, M; Utev, S
• 署名单位: University System of Ohio; University of Cincinnati; La Trobe University; Russian Academy of Sciences
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 1997
• 页码: 443-456
• 关键词: random-variables

摘要

In this paper we study the CLT for partial sums of a generalized linear process X-n = Sigma(i=1)(n) a(ni)xi(i), where sup(n) Sigma(i=1)(n) a(ni)(2) < infinity, max(1 less than or equal to i less than or equal to n)\a(ni)\ --> 0 as n --> infinity and xi(i)'s are in turn, pairwise mixing martingale differences, mixing sequences or associated sequences. The results are important in analyzing the asymptotical properties of some estimators as well as of linear processes.