On Berry–Esseen bounds for non-instantaneous filters of linear processes
Cheng, Tsung-Lin ; Ho, Hwai-Chung
Bernoulli, Tome 14 (2008) no. 1, p. 301-321 / Harvested from Project Euclid
Let Xn=∑i=1aiɛn−i, where the ɛi are i.i.d. with mean 0 and at least finite second moment, and the ai are assumed to satisfy |ai|=O(i−β) with β>1/2. When 1/2<β<1, Xn is usually called a long-range dependent or long-memory process. For a certain class of Borel functions K(x1, …, xd+1), d≥0, from ${\mathcal{R}}^{d+1}$ to $\mathcal{R}$ , which includes indicator functions and polynomials, the stationary sequence K(Xn, Xn+1, …, Xn+d) is considered. By developing a finite orthogonal expansion of K(Xn, …, Xn+d), the Berry–Esseen type bounds for the normalized sum $Q_{N}/\sqrt{N}$ , QN=∑Nn=1(K(Xn, …, Xn+d)−EK(Xn, …, Xn+d)) are obtained when $Q_{N}/\sqrt{N}$ obeys the central limit theorem with positive limiting variance.
Publié le : 2008-05-15
Classification:  Berry–Esseen bounds,  linear processes,  long memory,  long-range dependence,  non-instantaneous filters,  rate of convergence
@article{1208872106,
     author = {Cheng, Tsung-Lin and Ho, Hwai-Chung},
     title = {On Berry--Esseen bounds for non-instantaneous filters of linear processes},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 301-321},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1208872106}
}
Cheng, Tsung-Lin; Ho, Hwai-Chung. On Berry–Esseen bounds for non-instantaneous filters of linear processes. Bernoulli, Tome 14 (2008) no. 1, pp.  301-321. http://gdmltest.u-ga.fr/item/1208872106/