Library Header Image
LSE Research Online LSE Library Services

Central limit theorem for the empirical process

Giraitis, Liudas and Surgailis, Donatas (1999) Central limit theorem for the empirical process. Journal of Statistical Planning and Inference, 80 (1-2). pp. 81-93. ISSN 0378-3758

Full text not available from this repository.
Identification Number: 10.1016/S0378-3758(98)00243-2


We discuss the functional central limit theorem (FCLT) for the empirical process of a moving-average stationary sequence with long memory. The cases of one-sided and double-sided moving averages are discussed. In the case of one-sided (causal) moving average, the FCLT is obtained under weak conditions of smoothness of the distribution and the existence of (2+δ)-moment of i.i.d. innovations, by using the martingale difference decomposition due to Ho and Hsing (1996, Ann. Statist. 24, 992–1014). In the case of double-sided moving average, the proof of the FCLT is based on an asymptotic expansion of the bivariate probability density.

Item Type: Article
Official URL:
Additional Information: © 1999 Elsevier Science B.V.
Divisions: STICERD
Subjects: Q Science > QA Mathematics
Date Deposited: 19 Feb 2010 10:40
Last Modified: 15 May 2024 23:45

Actions (login required)

View Item View Item