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A random functional central limit theorem for stationary linear processes generated by martingales

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  • Fakhre-Zakeri, Issa
  • Lee, Sangyeol

Abstract

A random functional central limit theorem is obtained for a stationary linear process of the form , where {[var epsilon]t} is a strictly stationary sequence of martingale differences and .

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:35:y:1997:i:4:p:417-422
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    References listed on IDEAS

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    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.
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    Cited by:

    1. 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.
    2. Jong-Il Baek & Sung-Tae Park, 2010. "RETRACTED ARTICLE: Convergence of Weighted Sums for Arrays of Negatively Dependent Random Variables and Its Applications," Journal of Theoretical Probability, Springer, vol. 23(2), pages 362-377, June.

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    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.
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