Directly to content
  1. Publishing |
  2. Search |
  3. Browse |
  4. Recent items rss |
  5. Open Access |
  6. Jur. Issues |
  7. DeutschClear Cookie - decide language by browser settings

A Central Limit Theorem for the Empirical Process of a Long Memory Linear Sequence

Giraitis, Liudas ; Surgailis, Donatas

[img]
Preview
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 long-time accessibility.

Abstract

A central limit theorem for the normalized empirical process, basedon a (non-Gaussian) 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 M-functionals and U-statistics 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
About | FAQ | Contact | Imprint |
OA-LogoDINI certificate 2013Logo der Open-Archives-Initiative