Asymptotic normality for non-linear functionals of non-causal linear processes with summable weights

Tsung-Lin Cheng, Hwai Chung Ho

Research output: Contribution to journalArticle

4 Citations (Scopus)

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 languageEnglish
Pages (from-to)345-358
Number of pages14
JournalJournal of Theoretical Probability
Volume18
Issue number2
DOIs
Publication statusPublished - 2005 Apr 1

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K-functional
Indicator function
Linear Process
Summability
Partial Sums
Asymptotic Normality
Central limit theorem
Moment
Polynomial
Zero
Class
Innovation
Polynomials
Asymptotic normality

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Statistics and Probability

Cite this

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Asymptotic normality for non-linear functionals of non-causal linear processes with summable weights. / Cheng, Tsung-Lin; Ho, Hwai Chung.

In: Journal of Theoretical Probability, Vol. 18, No. 2, 01.04.2005, p. 345-358.

Research output: Contribution to journalArticle

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