Abstract
Let Xn = ∑j=-∞∞ a jεn-j, n≥ be a non-causal linear process with weights a j 's satisfying certain summability conditions, and the iid sequence of innovation {εi} having zero mean and finite second moment. For a large class of non-linear functional K which includes indicator functions and polynomials, the present paper develops the √N central limit theorem for the partial sums SN=∑n=1N [K(Xn) - EK(Xn)].
Original language | English |
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Pages (from-to) | 345-358 |
Number of pages | 14 |
Journal | Journal of Theoretical Probability |
Volume | 18 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2005 Apr 1 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Mathematics(all)
- Statistics, Probability and Uncertainty