Lecture 9 Flashcards
State the theorem regarding the AN of an MA(infinity) process.
State and prove the theorem regarding the AN of an MA(infinity) process.
State the theorem regarding the Asymptotic Normality of weakly dependent time series
State intuitively the condition in the theorem regarding the Asymptotic Normality of weakly dependent time series
In words, argue the sketch of the proof of the theorem regarding the Asymptotic Normality of weakly dependent time series.
As before, write the sequence of interest in terms of the sum of two sequences and explicitly define the two sequences, and list any other critical assumptions.
Show why we can assume that the second moment of the second term is o(1).
Use Lemma 1 to argue why we’re interested in the AN of the first term.
Prove that the first term converges in distribution to a normal RV.
