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A functional central limit theorem for [varrho]-mixing sequences

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  • Herrndorf, Norbert

Abstract

In this note a functional central limit theorem for [varrho]-mixing sequences of I. A. Ibragimov (Theory Probab. Appl. 20 (1975), 135-141) is generalized to nonstationary sequences (Xn)n [set membership, variant] , satisfying some assumptions on the variances and the moment condition E Xn2 + b = O(nb/2-[epsilon]) for some b > 0, [epsilon] > 0.

Suggested Citation

  • Herrndorf, Norbert, 1984. "A functional central limit theorem for [varrho]-mixing sequences," Journal of Multivariate Analysis, Elsevier, vol. 15(1), pages 141-146, August.
    • Handle: RePEc:eee:jmvana:v:15:y:1984:i:1:p:141-146
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    Cited by:

    1. Giuseppe Cavaliere, 2002. "Bounded integrated processes and unit root tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 41-69, February.
    2. Boubacar Maïnassara, Yacouba & Raïssi, Hamdi, 2015. "Semi-strong linearity testing in linear models with dependent but uncorrelated errors," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 110-115.
    3. Lee, Oesook & Lee, Jungwha, 2014. "The functional central limit theorem for the multivariate MS–ARMA–GARCH model," Economics Letters, Elsevier, vol. 125(3), pages 331-335.
    4. Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.

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