Limit theorems for locally stationary processes
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Date
2019
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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 that are closely related
to those originally imposed by Dahlhaus and Polonik (2006).