Giraitis, Liudas ; Surgailis, Donatas

PDF, English
Download (143kB)  Terms of use 
Citation of documents: Please do not cite the URL that is displayed in your browser location input, instead use the DOI, URN or the persistent URL below, as we can guarantee their longtime accessibility.
Abstract
A central limit theorem for the normalized empirical process, basedon a (nonGaussian) moving average sequence X_t , t in Z, with long memory,is established, generalizing the results of Dehling and Taqqu (1989). The proof is based on the (Appell) expansion 1(X_t <= x) = F(x) + f(x) X_t + ...of the indicator function, where F(x) = P[X_t <= x] is the marginaldistribution function, f(x) = F'(x), and the covariance of the remainder termdecays faster than the covariance of X_t. As a consequence, the limitdistribution of Mfunctionals and Ustatistics based on such long memoryobservations is obtained.
Item Type:  Working paper 

Place of Publication:  Heidelberg 
Date Deposited:  13 Jun 2016 09:05 
Date:  December 1994 
Number of Pages:  14 
Faculties / Institutes:  The Faculty of Mathematics and Computer Science > Department of Applied Mathematics 
Subjects:  510 Mathematics 
Schriftenreihe ID:  Beiträge zur Statistik > Beiträge 