eprintid: 20934
rev_number: 12
eprint_status: archive
userid: 2326
dir: disk0/00/02/09/34
datestamp: 2016-06-13 09:05:17
lastmod: 2016-06-15 10:51:25
status_changed: 2016-06-13 09:05:17
type: workingPaper
metadata_visibility: show
creators_name: Giraitis, Liudas
creators_name: Surgailis, Donatas
title: A Central Limit Theorem for the Empirical Process of a Long Memory Linear Sequence
subjects: ddc-510
divisions: i-110400
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.
date: 1994-12
id_scheme: DOI
id_number: 10.11588/heidok.00020934
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 24
ppn_swb: 1657173909
own_urn: urn:nbn:de:bsz:16-heidok-209346
language: eng
bibsort: GIRAITISLIACENTRALLI199412
full_text_status: public
place_of_pub: Heidelberg
pages: 14
citation:   Giraitis, Liudas ; Surgailis, Donatas  (1994) A Central Limit Theorem for the Empirical Process of a Long Memory Linear Sequence.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/20934/1/beitrag.24.pdf