Central limit theorem for stationary linear processes

Abstract

We establish the central limit theorem for linear processes with dependent innovations including martingales and mixingale type of assumptions as defined in McLeish [Ann. Probab. 5 (1977) 616--621] and motivated by Gordin [Soviet Math. Dokl. 10 (1969) 1174--1176]. In doing so we shall preserve the generality of the coefficients, including the long range dependence case, and we shall express the variance of partial sums in a form easy to apply. Ergodicity is not required.

Published at http://dx.doi.org/10.1214/009117906000000179 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)