Trimmed sums of long range dependent moving averages

Rafal Kulik and Mohamedou Ould Haye

Statistics & Probability Letters, 2008, vol. 78, issue 15, 2536-2542

Abstract: In this paper we establish asymptotic normality of trimmed sums for long range dependent moving averages. Our results extend those of Ho and Hsing [Ho, H.-C., Hsing, T. 1996. On the asymptotic expansion of the empirical process of long-memory moving averages. Ann. Statist. 24, 992-1024] and Wu [Wu, W.B., 2005. On the Bahadur representation of sample quantiles for dependent sequences. Ann. Statist. 33 1934-1963].

Date: 2008
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