Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 115, Issue 6, Pages 939-958Publisher
ELSEVIER
DOI: 10.1016/j.spa.2005.01.001
Keywords
central limit theorem; covariance; GARCH model; invariance principle; linear process; nonlinear time series
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We consider asymptotic behavior of partial sums and sample covariances for linear processes whose innovations are dependent. Central limit theorems and invariance principles are established under fairly mild conditions. Our results go beyond earlier ones by allowing a quite wide class of innovations which includes many important nonlinear time series models. Applications to linear processes with GARCH innovations and other nonlinear time series models are discussed. (c) 2005 Elsevier B.V. All rights reserved.
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