Chapter

FCLTs for Dependent Variables

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.003.0029

Series: Advanced Texts in Econometrics

 FCLTs for Dependent Variables

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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

Chapter.  13552 words. 

Subjects: Econometrics and Mathematical Economics

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