Jul 1, 2013 Report No：13-11
A Note on the Mixingale Limit Theorem by McLeish (1977)
The logical gap in the proof of non-stationary mixingale invariance principle by McLeish (1977) is identied and fixed 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|