A central limit theorem for stationary linear processes generated by linearly positively quadrant-dependent process

Tae-Sung Kim and Jong-Il Baek

Statistics & Probability Letters, 2001, vol. 51, issue 3, 299-305

Abstract: A central limit theorem is obtained for a stationary linear process of the form Xt=[summation operator]j=0[infinity]aj[var epsilon]t-j, where {[var epsilon]t} is a strictly stationary sequence of linearly positive quadrant dependent random variables with E[var epsilon]t=0, E[var epsilon]ts 2, and [summation operator]t=n+1[infinity]E[var epsilon]1[var epsilon]t=O(n-[rho]) for some [rho]>0 and [summation operator]j=0[infinity]aj

Keywords: Central; limit; theorem; Functional; central; limit; theorem; Linear; process; Linearly; positive; quadrant; dependent (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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