Functional central limit theorem for the empirical process of short memory linear processes;Théoreme de limite centrale fonctionnelle pour la fonction de répartition empirique d'un processus linéaire à mémoire courte

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 326, Issue 1, 1998, Pages 87-92

  Doukhan, Paul ^a   Surgailis, Donatas ^b  

^a UNIVERSITÉ DE CERGY PONTOISE   (France)

^b VILNIUS UNIVERSITY   (Lithuania)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031627469     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(97)82718-8     Document Type: Article

References (9)

1. [1] P. Billingsley. Convergence of Probability Measures, N.Y., Wiley, 1968.
2. [2] S. Csörgo, J. Mielniczuk. The empirical process of a short-range dependent stationary sequence under Gaussian subordination, Probab. Th. Rel. Fields, 104, (1996), 15-25.
3. [3] H. Dehling, M. Taqqu. The empirical process of some lon-range dependent sequences with an application to U-statistics, Ann. Statist, 17, (1989), 1767-1783.
4. [4] P. Doukhan. Mixing. Properties and Examples, Lecture Notes in Statistics 85, Springer Verlag. N. Y., 1994.
5. [5] P. Doukhan, P. Massart, E. Rio. The Invariance Principle for the empirical measure of a weakly dependent process, Ann. Inst. H. Poincaré B, 31-2, (1995), 393-427.
6. [6] L. Giraitis, D. Surgailis. Asymptotics of the Empirical process of a long memory linear sequence. Beiträge zur Statistik, 24. Universität Heidelberg, 1994.
7. [7] H.C. Ho, T. Hsing. On the asymptotic expansion of the empirical process of long memory moving averages, Ann. Statist., 24 (3), (1996), 992-1024.
8. [8] H. Koul, D. Surgailis. Asymptotic expansion of M-estimators with long memory errors, Ann. Statist. (1997) to appear.
9. [9] Q. Shao, H. Yu. Weak convergence for weighted empirical processes of dependent sequences, Ann. Probab., 24 (4), (1996). 2098-2127.