Abstract
Abstract This chapter deals with the central limit theorem (CLT) for dependent processes. As with the law of large numbers, the focus is on near‐epoch dependent and mixing processes and array versions of the results are given to allow heterogeneity. The cornerstone of these results is a general CLT due to McLeish, from which a result for martingales is obtained directly. A result for stationary ergodic mixingales is given, and the rest of the chapter is devoted to proving and interpreting a CLT for mixingales and hence for arrays that are near‐epoch dependent on a strong‐mixing and uniform-mixing processes.
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