期刊
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
卷 115, 期 6, 页码 939-958出版社
ELSEVIER
DOI: 10.1016/j.spa.2005.01.001
关键词
central limit theorem; covariance; GARCH model; invariance principle; linear process; nonlinear time series
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据