Central limit theorems under weak dependence


This article is motivated by a central limit theorem of Ibragimov for strictly stationary random sequences satisfying a mixing condition based on maximal correlations. Here we show that the mixing condition can be weakened slightly, and construct a class of stationary random sequences covered by the new version of the theorem but not Ibragimov's original version. Ibragimov's theorem is also extended to triangular arrays of random variables, and this is applied to some kernel-type estimates of probability density.Strictly stationary strong mixing maximal correlation kernel-type density estimator

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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