A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes
Keyword(s):
A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.
1986 ◽
pp. 269-289
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1969 ◽
Vol 40
(2)
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pp. 601-609
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Keyword(s):
Keyword(s):