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Stochastic Limit TheoryAn Introduction for Econometricians$
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James Davidson

Print publication date: 1994

Print ISBN-13: 9780198774037

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774036.001.0001

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FCLTs for Dependent Variables

FCLTs for Dependent Variables

Chapter:
(p.474) 29 FCLTs for Dependent Variables
Source:
Stochastic Limit Theory
Author(s):

James Davidson

Publisher:
Oxford University Press
DOI:10.1093/0198774036.003.0029

After some technical preliminaries, this chapter gives the main proof of the functional central limit theorem (FCLT) for near‐epoch dependent functions of mixing processes. It goes on to consider variants of the result for nonstationary increments, in which the limits are Brownian motions subject to distortions of the time domain. The multivariate case of the result is also given.

Keywords:   mixing processes, near‐epoch dependence, space D, transformed Brownian motion

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