Central limit theorem for linear processes
Peligrad, Magda ; Utev, Sergey
Ann. Probab., Tome 25 (1997) no. 4, p. 443-456 / Harvested from Project Euclid
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In this paper we study the CLT for partial sums of a generalized linear process $X_n = \sum_{i=1}^n a_{ni} \xi_i$, where $\sup_n \sum_{i=1}^n a_{ni}^2 < \infty, \max_{1 \leq i \leq n}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.
Publié le : 1997-01-14
Classification:  Linear process,  dependent random variables,  central limit theorem,  60G09,  60F05 
@article{1024404295,
     author = {Peligrad, Magda and Utev, Sergey},
     title = {Central limit theorem for linear processes},
     journal = {Ann. Probab.},
     volume = {25},
     number = {4},
     year = {1997},
     pages = { 443-456},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1024404295}
}

Peligrad, Magda; Utev, Sergey. Central limit theorem for linear processes. Ann. Probab., Tome 25 (1997) no. 4, pp.  443-456. http://gdmltest.u-ga.fr/item/1024404295/