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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Keywords

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

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