On linear processes with dependent innovations
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.
Year of publication: |
2005
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Authors: | Biao Wu, Wei ; Min, Wanli |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 6, p. 939-958
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Publisher: |
Elsevier |
Keywords: | Central limit theorem Covariance GARCH model Invariance principle Linear process Nonlinear time series |
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