[KSCI] Korea Science Citation Index Service

THE CENTRAL LIMIT THEOREMS FOR THE MULTIVARIATE LINEAR PROCESS GENERATED BY WEAKLY ASSOCIATED RANDOM VECTORS

Kim, Tae-Sung (Division of Mathematics and Informational Statistics and Institute of Basic Natural Science, Wonkwang University)
Ko, Mi-Hwa (Statistical Research Center for Complex System, Seoul National University)

Publication Information

Journal of the Korean Statistical Society / v.32, no.1, 2003 , pp. 11-20 More about this Journal

Abstract

Let｛Ｘt｝be an m-dimensional linear process of the form (equation omitted), where｛Zt｝is a sequence of stationary m-dimensional weakly associated random vectors with EZt = O and E∥Zt∥ $^2$ ＜ $\infty$ . We Prove central limit theorems for multivariate linear processes generated by weakly associated random vectors. Our results also imply a functional central limit theorem.

Keywords

Weakly associated random vector; multivariate linear process; central limit theorem; functional central limit theorem; functional central limit theorem;

Citations & Related Records

Reference

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