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https://hdl.handle.net/2440/56644
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DC Field | Value | Language |
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dc.contributor.author | Lin, Z. | - |
dc.contributor.author | Li, D. | - |
dc.date.issued | 2006 | - |
dc.identifier.citation | Progress in Natural Science: communication of state key laboratories of China, 2006; 16(3):266-273 | - |
dc.identifier.issn | 1002-0071 | - |
dc.identifier.uri | http://hdl.handle.net/2440/56644 | - |
dc.description.abstract | Let {Xt,t≥1} be a moving average process defined byXt = ∞∑j=0bjξt-j , where {bj,j≥0} is a sequence of real numbers and {ξt, ∞< t <∞} is a doubly infinite sequence of strictly stationary φ- mixing random variables. Under conditions on {bj, j ≥0}which entail that {Xt, t ≥ 1} is either a long memory process or a linear process, we study asymptotics of Sn ( s ) = [ns]∑t=1 Xt (properly normalized). When {Xt, t≥1} is a long memory process, we establish a functional limit theorem. When {Xt, t≥1} is a linear process, we not only obtain the multi-dimensional weak convergence for {Xt, t≥1}, but also weaken the moment condition on {ξt, - ∞< t <∞} and the restriction on {bj,j≥0}. Finally, we give some applications of our results. | - |
dc.description.statementofresponsibility | Lin Zhengyan, Li Degui | - |
dc.language.iso | en | - |
dc.publisher | Taylor & Francis Ltd | - |
dc.subject | functional limit theorem | - |
dc.subject | long memory process | - |
dc.subject | linear process | - |
dc.subject | moving average process | - |
dc.subject | φ-mixing. | - |
dc.title | Functional limit theorem for moving average processes generated by dependent random variables | - |
dc.type | Journal article | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 5 Economics publications |
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