Limit theorems for locally stationary processes

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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Year of publication:	2020
Authors:	Kawka, Rafael
Published in:	Statistical Papers. - Berlin, Heidelberg : Springer, ISSN 1613-9798. - Vol. 62.2020, 6, p. 2557-2571
Publisher:	Berlin, Heidelberg : Springer
Subject:	Locally stationary process \| Central limit theorem \| Law of large numbers \| Law of the iterated logarithm

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s00362-020-01204-1 [DOI]
Source:	EconStor

Persistent link: https://www.econbiz.de/10014504385