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On Beveridge-Nelson decomposition and limit theorems for linear random fields

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  • Paulauskas, Vygantas

Abstract

We consider linear random fields and show how an analogue of the Beveridge-Nelson decomposition can be applied to prove limit theorems for sums of such fields.

Suggested Citation

  • Paulauskas, Vygantas, 2010. "On Beveridge-Nelson decomposition and limit theorems for linear random fields," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 621-639, March.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:3:p:621-639
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    References listed on IDEAS

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    1. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    2. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
    3. Marinucci, D. & Poghosyan, S., 2001. "Asymptotics for linear random fields," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 131-141, January.
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    Cited by:

    1. El Machkouri, Mohamed & Volný, Dalibor & Wu, Wei Biao, 2013. "A central limit theorem for stationary random fields," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 1-14.
    2. Mallik, Atul & Woodroofe, Michael, 2011. "A Central Limit Theorem for linear random fields," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1623-1626, November.

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    Keywords

    Limit theorems Random fields;

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