논문KCI 등재
Functional central limit theorems for multivariate linear processes generated by dependent random vectors
대한수학회 (The Korean Mathematical Society)|2006.10|대한수학회논문집 (Communications of the KMS)|제21권 제4호|pp. 779-786
0
조회
0
다운로드
1
인용
0
참고문헌
주제분류수학
초록
Abstract
LetXt be an m-dimensional linear process dened byXt =P 1j =0 Aj Zt j ; t = 1 ;2;: , where fZtg is a sequence ofm-dimensional random vectors with mean 0 :m 1 and positivedenite covariance matrix : m m and fAj g is a sequence ofcoecient matrices. In this paper we give sucient conditions sothatP [ns ]t=1 Xt (properly normalized) converges weakly to Wienermeasure if the corresponding result forP [ns ]t=1 Zt is true.
참고문헌 (10)
- "On mixing and stability oflimit theorems", pp.325~ (1978)
- "\it A ranldom functional central limittheorem for martingales", pp.301~ (1976)
- "\it Convergence of Probability Measures" (1968)
- "Time Series Theory and Methods" (1987)
- "Aninvariance principle for weakly associated random vectors", pp.301~306 (1986)
- "On functional central limittheorems for multivariate linear processes with applications tosequential estimation", pp.11~23 (2000)
- "Introduction to Statistical Time-Series" (1996), 2ndEdition. Wiley Inc
- "The random functionalcentral limit theorem for multivariate martingale difference" (2006)
- "\it Convergence of Stochastic Processes}" (1984)
- "A comparison theorem on maximum inequalitiesbetween negatively associated and independent random variables", pp.343~356 (2000)
관련 논문AI추천
On a central limit theorem for a stationary multivariate linear process generated by linearly positive quadrant dependent random vectorsTae-Sung Kim대한수학회 · 대한수학회지2002 · 제39권 제1호On a functional central limit theorem for stationary linear processes generated by associated processes고미화, Tae-Sung Kim대한수학회 · 대한수학회보2003 · 제40권 제4호A central limit theorem for the stationary multivariate linear process generated by associated random vectorsSung-Mo Chung, Tae-Sung Kim대한수학회 · 대한수학회논문집2002 · 제17권 제1호The Central Limit Theorems for the Multivariate Linear Processes Generated by Negatively Associated Random Vectors김태성, Mi Hwa Ko, Myeong-Hee Ro한국수학교육학회 · 이론수학과 교직수학2004 · 제11권 제2호On a functional central limit theorem for the linear process generated by associated random variables in a Hilbert space고미화, 김태성대한수학회 · 대한수학회논문집2008 · 제23권 제1호Almost sure convergence for linear process generated by asymptotically linear negative quadrant dependence processesGuang-hui Cai대한수학회 · 대한수학회논문집2005 · 제20권 제1호