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2013/7/1 Report No:13-11

A Note on the Mixingale Limit Theorem by McLeish (1977)

著者
分野 経済学
言語 英語
要旨

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.

キーワード Mixingale, Heteroskedasticity, Mixing and Stable Convergence in Law
添付ファイル 13-11.pdf