Self-Normalized Weak Invariance Principle for Mixing Sequences

In this article we give a necessary and su±cient condition for a selfnormalized weak invariance principle, in the case of a strictly stationary Á-mixing sequence fXjgj¸1. This is obtained under the assumptions that the function L(x) = EX2 1 1fjX1·xg is slowly varying at 1 and the mixing coe±cients satisfy Á1=2(n) < .

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Year of publication:	2005-03-30
Authors:	Balan, Raluca ; Kulik
Institutions:	Départment des sciences administratives, Université du Québec en Outaouais (UQO)
Subject:	Self-normalized \| weak invariance principle \| mixing sequences

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Extent:	application/pdf
Series:	RePAd Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number lrsp-TRS417 15 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C40 - Econometric and Statistical Methods: Special Topics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005248631