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A CENTRAL-LIMIT-THEOREM FOR GLOBALLY NONSTATIONARY NEAR-EPOCH DEPENDENT FUNCTIONS OF MIXING PROCESSES

被引：31
作者：
DAVIDSON, J
机构：
来源：
ECONOMETRIC THEORY | 1992年 / 8卷 / 03期
关键词：
D O I：
10.1017/S0266466600012950
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.
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页码：313 / 329
页数：17
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