Satoshi Hada
IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences
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. © 2005 Elsevier B.V. All rights reserved.
Satoshi Hada
IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences
Sankar Basu
Journal of the Franklin Institute
Imran Nasim, Melanie Weber
SCML 2024
Ruixiong Tian, Zhe Xiang, et al.
Qinghua Daxue Xuebao/Journal of Tsinghua University