Holderian functional central limit theorem for linear processes
Let (Xt)t ≥ 1 be a linear process defined by Xt = ∑i=0∞ψi εt-1 where (ψi, i ≥ 0) is a sequence of real numbers and (εi , i ∈ Z) is a sequence of random variables with null expectation and variance 1. This paper provides Hölderian FCLT for (Xt)t ≥ 1 with wide class of filters. Filters with ψ(i)...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2004-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/32281 |