IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v78y2008i12p1541-1547.html
   My bibliography  Save this article

A self-normalized central limit theorem for [rho] -mixing stationary sequences

Author

Listed:
  • Jiang, Xinxin
  • Hahn, Marjorie

Abstract

A central limit theorem (CLT) for self-normalized sequences of [rho]-mixing (strictly) stationary random variables is obtained, provided the regular CLT holds. The self-normalizer is from the classical Bernstein-Block-Technique.

Suggested Citation

  • Jiang, Xinxin & Hahn, Marjorie, 2008. "A self-normalized central limit theorem for [rho] -mixing stationary sequences," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1541-1547, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1541-1547
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(08)00009-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Peligard, Magda & Suresh, Ram, 1995. "Estimation of variance of partial sums of an associated sequence of random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 307-319, April.
    2. Peligrad, Magda & Shao, Qi-Man, 1996. "A note on estimation of variance for [rho]-mixing sequences," Statistics & Probability Letters, Elsevier, vol. 26(2), pages 141-145, February.
    3. Peligrad, M. & Shao, Q. M., 1995. "Estimation of the Variance of Partial Sums for [rho]-Mixing Random Variables," Journal of Multivariate Analysis, Elsevier, vol. 52(1), pages 140-157, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhang, Li-Xin, 2001. "The Weak Convergence for Functions of Negatively Associated Random Variables," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 272-298, August.
    2. Dehling, Herold & Fried, Roland & Sharipov, Olimjon Sh. & Vogel, Daniel & Wornowizki, Max, 2013. "Estimation of the variance of partial sums of dependent processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 141-147.
    3. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
    4. Isha Dewan & B. Rao, 2003. "Mann-Whitney test for associated sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 111-119, March.
    5. Bulinski, Alexander & Suquet, Charles, 2001. "Normal approximation for quasi-associated random fields," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 215-226, September.
    6. Peligrad, Magda & Shao, Qi-Man, 1996. "A note on estimation of variance for [rho]-mixing sequences," Statistics & Probability Letters, Elsevier, vol. 26(2), pages 141-145, February.
    7. Dehling, Herold & Fried, Roland, 2012. "Asymptotic distribution of two-sample empirical U-quantiles with applications to robust tests for shifts in location," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 124-140.
    8. Christofides, Tasos C., 2000. "Maximal inequalities for demimartingales and a strong law of large numbers," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 357-363, December.
    9. Dewan, Isha & Rao, B.L.S. Prakasa, 2005. "Wilcoxon-signed rank test for associated sequences," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 131-142, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1541-1547. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.