Limit theorems for locally stationary processes

Rafael Kawka ()
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Rafael Kawka: Technische Universität Dortmund

Statistical Papers, 2021, vol. 62, issue 6, No 3, 2557-2571

Abstract: Abstract We present limit theorems for locally stationary processes that have a one sided time-varying moving average representation. In particular, we prove a central limit theorem (CLT), a weak and a strong law of large numbers (WLLN, SLLN) and a law of the iterated logarithm (LIL) under mild assumptions using a time-varying Beveridge–Nelson decomposition.

Keywords: Locally stationary process; Central limit theorem; Law of large numbers; Law of the iterated logarithm (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:62:y:2021:i:6:d:10.1007_s00362-020-01204-1

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DOI: 10.1007/s00362-020-01204-1

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