A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields

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Auteur

Michael C. Tseng

Date

6 octobre 2019

Discipline

Economies et finances

Type de document

Textes imprimés

Périmètre

Publications

Identifiant

1910.02577

Source

arXiv - économie

Collection

Organisation

Cornell University

Mots-clés Und

Mathematics - Probability Economics - Econometrics 60F17

Sujets proches En

Fields, Random

Citer ce document

Michael C. Tseng, « A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields », arXiv - économie

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Résumé 0

We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel data models.

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