Location of Repository

Central limit theorem for the empirical process

By Liudas Giraitis and Donatas Surgailis


We discuss the functional central limit theorem (FCLT) for the empirical process of a moving-average stationary sequence with long memory. The cases of one-sided and double-sided moving averages are discussed. In the case of one-sided (causal) moving average, the FCLT is obtained under weak conditions of smoothness of the distribution and the existence of (2+δ)-moment of i.i.d. innovations, by using the martingale difference decomposition due to Ho and Hsing (1996, Ann. Statist. 24, 992–1014). In the case of double-sided moving average, the proof of the FCLT is based on an asymptotic expansion of the bivariate probability density

Topics: QA Mathematics
Publisher: Elsevier
Year: 1999
DOI identifier: 10.1016/S0378-3758(98)00243-2
OAI identifier: oai:eprints.lse.ac.uk:7164
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.sciencedirect.com/s... (external link)
  • http://eprints.lse.ac.uk/7164/ (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.