On Linear Processes with Dependent Innovations
نویسندگان
چکیده
We investigate asymptotic properties 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 non-linear time series models. Applications to linear processes with GARCH innovations and other non-linear time series models are discussed.
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تاریخ انتشار 2004