Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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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)
  • Published : 2003.03.01
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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

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