Hu, Shuhe; He, Zehui; Ma, Songlin; Zha, Tingting Laws of large numbers and central limit theorems for linear processes. (Chinese. English summary) Zbl 1091.60503 J. Anhui Univ., Nat. Sci. 30, No. 2, 1-5 (2006). Summary: Let \(\{X_t\}\) be a linear process: \(X_t= \sum_{j=0}^\infty c_j \varepsilon_{t-j}\), here \(\{c_j\}\) is a nonrandom constant sequence, \(\{\varepsilon_i,{\mathcal F}_i\}\) is an adapted martingale difference sequence, \(\sum_{j=0}^\infty c_j^2 E\varepsilon_{t-j}^2< \infty\) for \(t=1,2,\dots\). We obtain laws of large numbers and central limit theorems of linear processes by using the Beveridge-Nelson decomposition about linear processes, we generalize and improve the corresponding results of P. C. B. Phillips and V. Solo [Ann. Stat. 20, No. 2, 971–1001 (1992; Zbl 0759.60021)]. MSC: 60F05 Central limit and other weak theorems Keywords:linear process; law of large numbers; central limit theory; Beveridge-Nelson decomposition Citations:Zbl 0759.60021 PDFBibTeX XMLCite \textit{S. Hu} et al., J. Anhui Univ., Nat. Sci. 30, No. 2, 1--5 (2006; Zbl 1091.60503)