Limit theorems for locally stationary processes
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Date
2020-10-01
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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.
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Locally stationary process, Central limit theorem, Law of large numbers, Law of the iterated logarithm
Subjects based on RSWK
Stationärer Prozess, Zentraler Grenzwertsatz, Gesetz der großen Zahlen