Journal of applied mathematics & informatics
- Volume 26 Issue 1_2
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- Pages.417-425
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- 2008
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- 2734-1194(pISSN)
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- 2234-8417(eISSN)
ON THE FUNCTIONAL CENTRAL LIMIT THEOREMS FOR MARTINGALE DIFFERENCE RANDOM VECTORS
Abstract
For stationary m-dimensional martingale difference sequences we prove the random functional central limit theorems and propose an almost sure consistent estimator for the limiting covariance matrix.
Keywords
- Functional central limit theorem;
- Martingale difference;
- Random indices;
- Mixing in the sense of Renyi