Central limit theorems for functionals of linear processes and their applications

被引：0

作者：

Wu, WB ^{[1
]}

机构：

[1] Univ Chicago, Dept Stat, Chicago, IL 60637 USA

来源：

STATISTICA SINICA | 2002年 / 12卷 / 02期

关键词：

central limit theorem; invariance principle; long- and short-range dependence; linear process; 0-crossings; empirical process; martingale;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper establishes central limit theorems and invariance principles for functionals of one-sided linear processes. These results are applied to long-range. dependent sequences whose covariances are summable but not absolutely summable. We also consider empirical processes and 0-crossings for linear processes whose innovations may have infinite variance. Comparisons with earlier results are indicated.

引用

页码：635 / 649

页数：15

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