Title of article
On linear processes with dependent innovations
Author/Authors
Biao Wu، نويسنده , , Wei-Ping Min، نويسنده , , Wanli، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
20
From page
939
To page
958
Abstract
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.
Keywords
Central Limit Theorem , Covariance , Invariance principle , Nonlinear time series , Linear process , GARCH model
Journal title
Stochastic Processes and their Applications
Serial Year
2005
Journal title
Stochastic Processes and their Applications
Record number
1577630
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