In this paper, a central limit theorem for strong near-epoch dependent sequences of random variables introduced in [9] is showed. Under the same moments condition,the authors essentially weaken the "size" re...In this paper, a central limit theorem for strong near-epoch dependent sequences of random variables introduced in [9] is showed. Under the same moments condition,the authors essentially weaken the "size" requirement mentioned in other papers about near epoch dependence.展开更多
In this paper, we show the invariance principle for the partial sum processes of fractionally integrated processes, otherwise known as I(d + m) processes, where |d| < 1/2 and m is a nonnegative integer, with strong...In this paper, we show the invariance principle for the partial sum processes of fractionally integrated processes, otherwise known as I(d + m) processes, where |d| < 1/2 and m is a nonnegative integer, with strong near-epoch dependent innovations. The results are applied to the test of unit root. The conditions given improve previous results in the literature concerning fractionally integrated processes.展开更多
We introduce a new class of dependent sequences of random variables, which is a subclass of near-epoch dependent sequences, but can also be approximated by mixing sequences. For this kind of sequences of random variab...We introduce a new class of dependent sequences of random variables, which is a subclass of near-epoch dependent sequences, but can also be approximated by mixing sequences. For this kind of sequences of random variables, we call them strong nearepoch dependent sequences, a p-order, p > 2, (maximum) moment inequality is established under weaker dependence sizes.展开更多
基金Project supported by the National Natural Science Foundation of China (No.10131040) the Zhejiang Provincial Natural Science Foundation of China (No.199016).
文摘In this paper, a central limit theorem for strong near-epoch dependent sequences of random variables introduced in [9] is showed. Under the same moments condition,the authors essentially weaken the "size" requirement mentioned in other papers about near epoch dependence.
基金supported by National Social Science Foundation of China (Grant No.07CTJ001)National Research Project for Statistics (Grant No. 2009LY056)National Natural Science Foundation of China (Grant Nos. 10901136, 71072113)
文摘In this paper, we show the invariance principle for the partial sum processes of fractionally integrated processes, otherwise known as I(d + m) processes, where |d| < 1/2 and m is a nonnegative integer, with strong near-epoch dependent innovations. The results are applied to the test of unit root. The conditions given improve previous results in the literature concerning fractionally integrated processes.
基金This work was supported by the National Natural Science Foundation of China(Grant No.10131040)Specialized Research Fund for the Doctoral Program of Higher Education(Grant No.200235090).
文摘We introduce a new class of dependent sequences of random variables, which is a subclass of near-epoch dependent sequences, but can also be approximated by mixing sequences. For this kind of sequences of random variables, we call them strong nearepoch dependent sequences, a p-order, p > 2, (maximum) moment inequality is established under weaker dependence sizes.