Abstract

We present limit theorems for locally stationary processes that have a one sided time-varying moving average representation. In particular, we prove a central limit theorem (CLT), a weak and a strong law of large numbers (WLLN, SLLN) and a law of the iterated logarithm (LIL) under mild assumptions using a time-varying Beveridge–Nelson decomposition.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call