On the asymptotic distributions of partial, sums of functionals of infinite-variance moving averages

被引：22

作者：

Hsing, T

机构：

[1] Natl Univ Singapore, Dept Stat & Appl Probabil, Singapore 119260, Singapore

[2] Texas A&M Univ, College Stn, TX 77843 USA

来源：

ANNALS OF PROBABILITY | 1999年 / 27卷 / 03期

关键词：

central and noncentral limit theorems;

D O I：

10.1214/aop/1022677460

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper investigates the asymptotic distribution of the partial sum S-N = Sigma(n=1)(N)[K(X-n) - EK(X-n)], as N --> infinity, where {X-n} is a moving average stable process and K is a bounded and measurable function. The results show that SN follows a central or non-central limit theorem depending on the rate at which the moving average coefficients tend to 0.

引用

页码：1579 / 1599

页数：21

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