2013.7.1 Report No：13-11
A Note on the Mixingale Limit Theorem by McLeish (1977)
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| Field | Economics |
| Language | English |
| Abstract | The logical gap in the proof of non-stationary mixingale invariance principle by McLeish (1977) is identi ed and fi xed by a skipped sub-sampling of a partial sum process in the continuous time. The corrected proof also delivers some extensions of the previous invariance principle and several stronger versions of convergence in law. |
| Keywords | Mixingale, Heteroskedasticity, Mixing and Stable Convergence in Law |
| attachment | 13-11.pdf |