Dependence and stochastic limit theory (in Russian)

Jonathan Hill
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Jonathan Hill: University of North Carolina, Chapel Hill, USA

Quantile, 2012, issue 10, 1-31

Abstract: In this essay we provide the basic asymptotic theory that serves as background theory for estimators in time series. We outline concepts of dependence used for stochastic limit theory, covering mixing, mixingale and near epoch dependence properties. We then detail some of the most general probability and distribution limit theorems for these processes popularly employed for time series theory and applications.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2012:i:10:p:1-31

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