ASYMPTOTICS FOR LINEAR-PROCESSES
ASYMPTOTICS FOR LINEAR-PROCESSES
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DOI：
10.1214/aos/1176348666
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发表时间：
1992-06-01
影响因子：
4.5
通讯作者：
SOLO, V
中科院分区：
文献类型：
--
作者：
PHILLIPS, PCB;SOLO, V
引入了一种推导线性过程渐近的方法，该方法使用线性滤波器的显式代数分解。该技术与 Gordin 方法密切相关，但比它有一些优势，特别是在应用范围方面。该方法为线性过程的强定律、中心极限理论和不变原理提供了一种简单的统一方法。涵盖了样本均值和样本协方差。结果适应同质和异质创新以及具有未定义手段和方差的创新。
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The technique is closely related to Gordin's method but has some advantages over it, especially in terms of its range of application. The method offers a simple unified approach to strong laws, central limit theory and invariance principles for linear processes. Sample means and sample covariances are covered. The results accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.