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A central limit theorem with random indices for stationary linear processes

Author

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  • Fakhre-Zakeri, Issa
  • Farshidi, Jamshid

Abstract

A central limit theorem with random indices is obtained for stationary linear process Xt - [mu] [Sigma][infinity]j = -[infinity]aj[epsilon]t - j, where {\Get} is an i.i.d. collection of random variables with E[sigma]t = 0, E[epsilon]2t = [sigma]2

Suggested Citation

  • Fakhre-Zakeri, Issa & Farshidi, Jamshid, 1993. "A central limit theorem with random indices for stationary linear processes," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 91-95, May.
    • Handle: RePEc:eee:stapro:v:17:y:1993:i:2:p:91-95
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    Citations

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    Cited by:

    1. Fakhre-Zakeri, Issa & Lee, Sangyeol, 1997. "A random functional central limit theorem for stationary linear processes generated by martingales," Statistics & Probability Letters, Elsevier, vol. 35(4), pages 417-422, November.
    2. Lee, Sangyeol, 1997. "Random central limit theorem for the linear process generated by a strong mixing process," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 189-196, September.
    3. Kim, Tae-Sung & Baek, Jong-Il, 2001. "A central limit theorem for stationary linear processes generated by linearly positively quadrant-dependent process," Statistics & Probability Letters, Elsevier, vol. 51(3), pages 299-305, February.
    4. Moon, H.J., 2008. "The functional CLT for linear processes generated by mixing random variables with infinite variance," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2095-2101, October.

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