Central limit theorem for linear processes generated by m-dependent random variables under the sub-linear expectation

Shuang Guo and Yong Zhang

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 18, 6407-6419

Abstract: We prove the Rosnethal’s inequality of m-dependent random variables under the sub-linear expectation in this paper. Furthermore, we use this inequality to investigate the central limit theorem for linear processes generated by m-dependent random variables under sub-linear expectations. This article use the basic definitions of sub-linear expectation space, Kronecker lemma, Cr inequality etc. to demonstrate the main conclusion.

Date: 2023
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DOI: 10.1080/03610926.2022.2028840

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