FUNCTIONAL CENTRAL LIMIT THEOREMS FOR MULTIVARIATE LINEAR PROCESSES GENERATED BY DEPENDENT RANDOM VECTORS

- Journal title : Communications of the Korean Mathematical Society
- Volume 21, Issue 4, 2006, pp.779-786
- Publisher : The Korean Mathematical Society
- DOI : 10.4134/CKMS.2006.21.4.779

Title & Authors

FUNCTIONAL CENTRAL LIMIT THEOREMS FOR MULTIVARIATE LINEAR PROCESSES GENERATED BY DEPENDENT RANDOM VECTORS

Ko, Mi-Hwa;

Ko, Mi-Hwa;

Abstract

Let be an m-dimensional linear process defined by , t = 1, 2, , where is a sequence of m-dimensional random vectors with mean 0 : and positive definite covariance matrix and is a sequence of coefficient matrices. In this paper we give sufficient conditions so that (properly normalized) converges weakly to Wiener measure if the corresponding result for is true.

Keywords

functional central limit theorem;Linear process;moving average process;negatively associated;martingale difference;

Language

English

Cited by

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