IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v35y1997i2p189-196.html
   My bibliography  Save this article

Random central limit theorem for the linear process generated by a strong mixing process

Author

Listed:
  • Lee, Sangyeol

Abstract

This paper considers the random central limit theorem (CLT) for a linear process of which the error process is strong mixing with the associated mixing order satisfying certain regularity conditions. By using the moment inequality of Yokoyama (1980, Corollary 1) we prove that the random CLT holds for the error process, which is a generalization of Réyni (1960) on iid random variables. Based on this result and applying the Beveridge and Nelson decomposition of the linear process (cf. Phillips and Solo, 1993), the random CLT is established for the linear process generated by strong mixing processes.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:35:y:1997:i:2:p:189-196
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(97)00013-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    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. 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.
    3. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:35:y:1997:i:2:p:189-196. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.