On Covariance Of Spectral Estimates Of Stationary Random Sequence
Pavle Mladenović (1991)
Publications de l'Institut Mathématique
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Displaying similar documents to “Consistency of the LSE in Linear regression with stationary noise”
On Covariance Of Spectral Estimates Of Stationary Random Sequence
On one method of analysis of linear systems with random stationary coefficients
Vladimír Kracík (1976)
Kybernetika
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Spectral decomposition of locally stationary random processes
Jiří Michálek (1986)
Kybernetika
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An invariance principle in for non stationary -mixing sequences
Paulo Eduardo Oliveira, Charles Suquet (1995)
Commentationes Mathematicae Universitatis Carolinae
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Invariance principle in is studied using signed random measures. This approach to the problem uses an explicit isometry between and a reproducing kernel Hilbert space giving a very convenient setting for the study of compactness and convergence of the sequence of Donsker functions. As an application, we prove a version of the invariance principle in the case of -mixing random variables. Our result is not available in the -setting.