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A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields

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  • Michael C. Tseng

Abstract

We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel data models.

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  • Michael C. Tseng, 2019. "A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields," Papers 1910.02577, arXiv.org.
    • Handle: RePEc:arx:papers:1910.02577
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    1. Volný, Dalibor & Wang, Yizao, 2014. "An invariance principle for stationary random fields under Hannan’s condition," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4012-4029.
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