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On the central limit theorem and law of the iterated logarithm for stationary processes with applications to linear processes

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  • Yokoyama, Ryozo

Abstract

Many of the proofs of various central limit theorems and laws of the iterated logarithm for strictly stationary processes are based on approximating martingales. Here we study on this line the functional central limit theorem and law of the iterated logarithm for stationary processes, not necessarily possessing a coboundary decomposition, with applications to stationary linear processes.

Suggested Citation

  • Yokoyama, Ryozo, 1995. "On the central limit theorem and law of the iterated logarithm for stationary processes with applications to linear processes," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 343-351, October.
    • Handle: RePEc:eee:spapps:v:59:y:1995:i:2:p:343-351
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    References listed on IDEAS

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    1. Volný, Dalibor, 1993. "Approximating martingales and the central limit theorem for strictly stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 44(1), pages 41-74, January.
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    Cited by:

    1. Biao Wu, Wei & Min, Wanli, 2005. "On linear processes with dependent innovations," Stochastic Processes and their Applications, Elsevier, vol. 115(6), pages 939-958, June.
    2. Wang, Qiying & Lin, Yan-Xia & Gulati, Chandra M., 2001. "Asymptotics for moving average processes with dependent innovations," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 347-356, October.
    3. Zhang, Yong, 2017. "The limit law of the iterated logarithm for linear processes," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 147-151.

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