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A self-normalized central limit theorem for [rho] -mixing stationary sequences

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  • Jiang, Xinxin
  • Hahn, Marjorie

Abstract

A central limit theorem (CLT) for self-normalized sequences of [rho]-mixing (strictly) stationary random variables is obtained, provided the regular CLT holds. The self-normalizer is from the classical Bernstein-Block-Technique.

Suggested Citation

  • Jiang, Xinxin & Hahn, Marjorie, 2008. "A self-normalized central limit theorem for [rho] -mixing stationary sequences," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1541-1547, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1541-1547
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    References listed on IDEAS

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    1. Peligard, Magda & Suresh, Ram, 1995. "Estimation of variance of partial sums of an associated sequence of random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 307-319, April.
    2. Peligrad, Magda & Shao, Qi-Man, 1996. "A note on estimation of variance for [rho]-mixing sequences," Statistics & Probability Letters, Elsevier, vol. 26(2), pages 141-145, February.
    3. Peligrad, M. & Shao, Q. M., 1995. "Estimation of the Variance of Partial Sums for [rho]-Mixing Random Variables," Journal of Multivariate Analysis, Elsevier, vol. 52(1), pages 140-157, January.
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