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| 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 |
| URI: | http://hdl.handle.net/2003/40226 http://dx.doi.org/10.17877/DE290R-22099 |
| Issue Date: | 2020-10-01 |
| Rights link: | https://creativecommons.org/licenses/by/4.0/ |
| Appears in Collections: | Lehrstuhl Statistik und Ökonometrie |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Kawka2020_Article_LimitTheoremsForLocallyStation.pdf | 299.83 kB | Adobe PDF | View/Open |
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