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Self-Normalized Weak Invariance Principle for Mixing Sequences

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Author Info
Raluca Balan () (University of Ottawa, LRSP)
Kulik () (Wroclaw University and University of Ottawa)
Abstract

In this article we give a necessary and su±cient condition for a selfnormalized weak invariance principle, in the case of a strictly stationary Á-mixing sequence fXjgj¸1. This is obtained under the assumptions that the function L(x) = EX2 1 1fjX1·xg is slowly varying at 1 and the mixing coe±cients satisfy Á1=2(n) < .

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File URL: http://www.repad.org/ca/on/lrsp/TRS417.pdf
File Format: application/pdf
File Function: First version, 2005
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Publisher Info
Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number lrsp-TRS417.

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Length: 15 pages
Date of creation: 30 Mar 2005
Date of revision:
Handle: RePEc:pqs:wpaper:082006

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Related research
Keywords: Self-normalized weak invariance principle mixing sequences.

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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This page was last updated on 2008-11-17.

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