Invariance principles for semi-stationary sequence of linear processes and applications to ARMA process

B. Truong-Van

Stochastic Processes and their Applications, 1995, vol. 58, issue 1, 155-172

Abstract: Linear semi-stationary processes which are very close to the mixingales considered by McLeish (1975, 1977) are introduced. For these processes an invariance principle is obtained with conditions both simpler and weaker than those retained by McLeish for the mixingales. Furthermore, a particular class of sequences of linear processes called quasi-stationary that gives a framework well-adapted for asymptotic theory of ARMA processes is also considered. For these quasi-stationary sequences, an invariance principle is also obtained and applied to ARMA processes. The results are compared to those obtained by Phillips and Solo (1992) who used the martingale approximating technique introduced by Gordin (1969).

Keywords: Invariance; principles; Linear; process; Semi-stationarity; ARMA; process (search for similar items in EconPapers)
Date: 1995
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(94)00082-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:58:y:1995:i:1:p:155-172

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().