Random central limit theorem for the linear process generated by a strong mixing process

Sangyeol Lee

Statistics & Probability Letters, 1997, vol. 35, issue 2, 189-196

Abstract: This paper considers the random central limit theorem (CLT) for a linear process of which the error process is strong mixing with the associated mixing order satisfying certain regularity conditions. By using the moment inequality of Yokoyama (1980, Corollary 1) we prove that the random CLT holds for the error process, which is a generalization of Réyni (1960) on iid random variables. Based on this result and applying the Beveridge and Nelson decomposition of the linear process (cf. Phillips and Solo, 1993), the random CLT is established for the linear process generated by strong mixing processes.

Keywords: Random; central; limit; theorem; Linear; processes; generated; by; strong; mixing; processes; The; Beveridge; and; Nelson; decomposition; Moment; bounds; for; strong; mixing; processes (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (1)

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