The functional central limit theorem for linear processes with strong near-epoch dependent innovations |
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Authors: | Jin Qiu Zhengyan Lin |
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Affiliation: | a School of Mathematics and Statistics, Zhejiang University of Finance and Economics, Hangzhou, Zhejiang 310018, PR China b Department of Mathematics, Zhejiang University, Hangzhou, Zhejiang 310028, PR China |
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Abstract: | This paper discusses linear processes with innovations exhibiting asymptotic weak dependence by being strong near-epoch dependent functions of mixing processes. The functional central limit theorem for the normalized partial sum process is established. The conditions given essentially improve on existing results in the literature in terms of the “size” requirement for the amount of dependence. It is also shown that two important econometric models, ARMA and GARCH models, are strong near-epoch dependent sequences. |
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Keywords: | Linear process Strong near-epoch dependence Functional central limit theorem ARMA model GARCH model |
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