Authors: Kawka, Rafael
Title: Limit theorems for locally stationary processes
Language (ISO): en
Abstract: We present limit theorems for locally stationary processes that have a one sided time-varying moving average representation. In particular, we prove a central limit theorem (CLT), a weak and a strong law of large numbers (WLLN, SLLN) and a law of the iterated logarithm (LIL) under mild assumptions using a time-varying Beveridge–Nelson decomposition.
Subject Headings: Locally stationary process
Central limit theorem
Law of large numbers
Law of the iterated logarithm
Subject Headings (RSWK): Stationärer Prozess
Zentraler Grenzwertsatz
Gesetz der großen Zahlen
Issue Date: 2020-10-01
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Appears in Collections:Lehrstuhl Statistik und Ökonometrie

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