TY  - GEN
AV  - public
CY  - Heidelberg
TI  - A Central Limit Theorem for the Empirical Process of a Long Memory Linear Sequence
Y1  - 1994/12//
ID  - heidok20934
A1  - Giraitis, Liudas
A1  - Surgailis, Donatas
EP  - 14
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/20934/
N2  - 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.
ER  -