A central limit theorem for self-normalized sums of a linear process
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References listed on IDEAS
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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- Moon, H.J., 2008. "The functional CLT for linear processes generated by mixing random variables with infinite variance," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2095-2101, October.
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KeywordsLinear process Normal law Self-normalization;
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