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On conditions in central limit theorems for martingale difference arrays

par Alj, Abdelkamel ;Azrak, Rajae ;Melard, Guy
Référence Economics letters, 123, page (305-307)
Publication Publié, 2014-03-17

Article révisé par les pairs

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Résumé :

An alternative central limit theorem for martingale difference arrays is presented. It can be deduced from the literature but it is not stated as such. It can be very useful for statisticians and econometricians. An illustration is given in the context of ARMA models with time-dependent coefficients. This note ends with a discussion about the conditions. © 2014 Elsevier B.V.