Self-normalized limit theorems for linear processes generated by ρ-mixing innovations*
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In this paper, we study the asymptotic behavior of the self-normalizer V n 2 for partial sums of linear processes generated by strictly stationary ρ-mixing innovations with infinite variance. Further, by using this we derive self-normalized versions of the CLT, the functional CLT, and the almost sure CLT for partial sums of the processes.
Keywordslinear process AR(1) process central limit theorem functional central limit theorem almost sure central limit theorem self-normalized sum ρ-mixing
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