A random functional central limit theorem for stationary linear processes generated by martingales

被引：13

作者：

FakhreZakeri, I

Lee, S

机构：

[1] UNIV N CAROLINA,DEPT STAT,CHAPEL HILL,NC 27599

[2] SOOKMYUNG WOMENS UNIV,DEPT STAT,SEOUL 140742,SOUTH KOREA

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 35卷 / 04期

关键词：

functional central limit theorem; linear process; martingales; mixing in the sense of Renyi; random indices; stationary;

D O I：

10.1016/S0167-7152(97)00040-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

A random functional central limit theorem is obtained for a stationary linear process of the form X-t = Sigma(j=-infinity)(infinity) a(j) epsilon(t-j). where {epsilon(t)} is a strictly stationary sequence of martingale differences and Sigma(j=-infinity)(infinity)\a(j)\ < infinity. (C) 1997 Elsevier Science B.V.

引用

页码：417 / 422

页数：6

共 10 条

[1]

MIXING AND STABILITY OF LIMIT-THEOREMS [J].