On conditions in central limit theorems for martingale difference arrays

An alternative central limit theorem for martingale difference arrays is presented. It can be deduced from the literature but it is not stated as such. It can be very useful for statisticians and econometricians. An illustration is given in the context of ARMA models with time-dependent coefficients. This note ends with a discussion about the conditions.

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Year of publication:	2014
Authors:	Alj, Abdelkamel ; Azrak, Rajae ; Mélard, Guy
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 3, p. 305-307
Publisher:	Elsevier
Subject:	Unconditional Lyapunov condition \| Conditional Lindeberg condition \| Unconditional Lindeberg condition \| Conditional Lyapunov condition \| Time series analysis

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Type of publication:	Article
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776624