A Note on the Mixingale Limit Theorem by McLeish (1977)

The logical gap in the proof of non-stationary mixingale invariance principle by McLeish (1977) is identied and fixed by a skipped sub-sampling of a partial sum process in the continuous time. The corrected proof also delivers some extensions of the previous invariance principle and several stronger versions of convergence in law.

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Year of publication:	2013-07
Authors:	Ikeda, Shin S.
Institutions:	National Graduate Institute for Policy Studies (GRIPS)

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Extent:	application/pdf
Series:	GRIPS Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 13-11 13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010797566