The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case

B-Tier
Journal: Econometric Theory
Year: 1993
Volume: 9
Issue: 3
Pages: 402-412

Score contribution per author:

2.018 = (α=2.02 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The central limit theorem in Davidson [2] is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade-off is demonstrated between the degree of dependence and the rate of degeneration. For the martingale difference case, it is sufficient for the sum of the variances to diverge at the rate of log n.

Technical Details

RePEc Handle
repec:cup:etheor:v:9:y:1993:i:03:p:402-412_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25