Abadir, K.M.; Distaso, W.; Giraitis, L.; Koul, H.L. - Rimini Centre for Economic Analysis (RCEA) - 2012
We establish asymptotic normality of weighted sums of stationary linear processes with general triangular array weights and when the innovations in the linear process are martingale differences. The results are obtained under minimal conditions on the weights and as long as the process of...