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Hannan, E. J.

The central limit theorem for time series regression. (English) Zbl 0421.60018

Stochastic Processes Appl. 9, 281-289 (1979).
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Cited in 2 Reviews
Cited in 44 Documents

MSC:

60F05 Central limit and other weak theorems
60F17 Functional limit theorems; invariance principles
60G42 Martingales with discrete parameter
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Keywords:

central limit theorem; mixing; invariance principle; weak mixing; regression; martingale
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References:

[1] Cameron, M.; Hannan, E. J., Transient signals, Biometrika, 66, 243-258 (1979) · Zbl 0414.62071
[2] Gordin, M. I., The central limit theorem for stationary processes, Soviet Math. Dokl., 10, 1174-1176 (1969) · Zbl 0212.50005
[3] Hannan, E. J., Central limit theorems for time series regression, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 26, 157-170 (1973) · Zbl 0246.62086
[4] Hannan, E. J., Multiple Time Series (1970), Wiley: Wiley New York · Zbl 0211.49804
[5] McLeish, D. L., On the invariance principle for non stationary mixingales, Ann. Probability, 5, 616-621 (1977) · Zbl 0367.60021
[6] Neveu, J., Discrete Parameter Martingales (1975), North-Holland: North-Holland Amsterdam · Zbl 0345.60026
[7] Rosenblatt, M., Some comments on narrow band-pass filters, Quart. App. Math., 17, 387-393 (1961) · Zbl 0099.34601
[8] Scott, D. J., Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach, Advances in Appl. Probability, 5, 119-137 (1973) · Zbl 0263.60011
[9] Zygmund, A., Trigonometric Series (1968), Cambridge University Press: Cambridge University Press London · JFM 58.0280.01
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