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Uniform asymptotic normality of weighted sums of short-memory linear processes

Part of: Parametric inference Limit theorems

Published online by Cambridge University Press:  04 May 2020

Rimas Norvaiša  and
Alfredas Račkauskas
Rimas Norvaiša*
Affiliation:
Vilnius University
Alfredas Račkauskas*
Affiliation:
Vilnius University
*
*Postal address: Naugarduko 24, LT-03225 Vilnius, Lithuania.
*Postal address: Naugarduko 24, LT-03225 Vilnius, Lithuania.
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Abstract

Let $X_1, X_2,\dots$ be a short-memory linear process of random variables. For $1\leq q<2$ , let ${\mathcal{F}}$ be a bounded set of real-valued functions on [0, 1] with finite q-variation. It is proved that $\{n^{-1/2}\sum_{i=1}^nX_i\,f(i/n)\colon f\in{\mathcal{F}}\}$ converges in outer distribution in the Banach space of bounded functions on ${\mathcal{F}}$ as $n\to\infty$ . Several applications to a regression model and a multiple change point model are given.

Keywords

Uniform limit theoremweak invariance principlep-variationchange pointsregressionshort memory linear process

MSC classification

Primary: 60F17: Functional limit theorems; invariance principles
Secondary: 62F05: Asymptotic properties of tests
Type
Research Papers
Information
Journal of Applied Probability , Volume 57 , Issue 1 , March 2020 , pp. 174 - 195
Copyright
© Applied Probability Trust 2020

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