Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527351 | Stochastic Processes and their Applications | 2005 | 20 Pages |
Abstract
We consider asymptotic behavior of partial sums and sample covariances for linear processes whose innovations are dependent. Central limit theorems and invariance principles are established under fairly mild conditions. Our results go beyond earlier ones by allowing a quite wide class of innovations which includes many important nonlinear time series models. Applications to linear processes with GARCH innovations and other nonlinear time series models are discussed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Wei Biao Wu, Wanli Min,