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The functional CLT for linear processes generated by mixing random variables with infinite variance

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  • Moon, H.J.

Abstract

In this paper we study the central limit theorem and the functional central limit theorem for a linear process generated by stationary [rho]-mixing of random variables under the infinite variance assumption.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:14:p:2095-2101
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    References listed on IDEAS

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    1. Lee, Sangyeol, 1997. "Random central limit theorem for the linear process generated by a strong mixing process," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 189-196, September.
    2. 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.
    3. Juodis, Mindaugas & Rackauskas, Alfredas, 2007. "A central limit theorem for self-normalized sums of a linear process," Statistics & Probability Letters, Elsevier, vol. 77(15), pages 1535-1541, September.
    4. Kulik, Rafal, 2006. "Limit theorems for self-normalized linear processes," Statistics & Probability Letters, Elsevier, vol. 76(18), pages 1947-1953, December.
    5. Wang, Qiying & Lin, Yan-Xia & Gulati, Chandra M., 2001. "Asymptotics for moving average processes with dependent innovations," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 347-356, October.
    6. 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.
    7. Wang, Qiying & Lin, Yan-Xia & Gulati, Chandra M., 2002. "The Invariance Principle For Linear Processes With Applications," Econometric Theory, Cambridge University Press, vol. 18(1), pages 119-139, February.
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    Cited by:

    1. Tyran-Kaminska, Marta, 2010. "Functional limit theorems for linear processes in the domain of attraction of stable laws," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 975-981, June.

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