首页 | 本学科首页   官方微博 | 高级检索  
     检索      


An invariance principle for triangular arrays of dependent variables with application to autocovariance estimation
Authors:Hui Chen  Joseph P Romano
Abstract:The invariance principle for triangular arrays of dependent variables is studied. We use the concept of mixingale, proposed by McLeish (1975). Uniform bounds are imposed on the growth of conditional expectations with respect to distant predecessors. The theorem is applied to invariance principles for autocovariance estimates based on triangular arrays of time-series data for weak mixing sequences and linear processes. Such results are required for bootstrap applications.
Keywords:Invariance principle  Brownian motion  α  -mixing  ϕ  -mixing  autocovariance functions  weak convergence of stochastic processes  mixingale
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号