ON A FUNCTIONAL CENTRAL LIMIT THEOREM FOR STATIONARY LINEAR PROCESSES GENERATED BY ASSOCIATED PROCESSES

Title & Authors
ON A FUNCTIONAL CENTRAL LIMIT THEOREM FOR STATIONARY LINEAR PROCESSES GENERATED BY ASSOCIATED PROCESSES
Kim, Tae-Sung; Ko, Mi-Hwa;

Abstract
A functional central limit theorem is obtained for a stationary linear process of the form $X_{t}=\;{\Sigma_{j=0}}^{\infty}a_{j}{\epsilon}_{t-j}, where {$\small{{\in}_{t}}$｝is a strictly stationary associated sequence of random variables with$E_{{\in}_t}{\;}={\;}0.{\;}E({\in}_t^2){\;}<{\;}{\infty}{\;}and{\;}{a_j}\$ is a sequence of real numbers with (equation omitted). A central limit theorem for a stationary linear process generated by stationary associated processes is also discussed.
Keywords
central limit theorem;functional central limit theorem;linear process;associated;
Language
English
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