On Berry--Esseen bounds for non-instantaneous filters of linear processes

Cheng, Tsung-Lin; Ho, Hwai-Chung

On Berry--Esseen bounds for non-instantaneous filters of linear processes

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Description

Let $X_n=\sum_{i=1}^{\infty}a_iε_{n-i}$, where the $ε_i$ are i.i.d. with mean 0 and at least finite second moment, and the $a_i$ are assumed to satisfy $|a_i|=O(i^{-β})$ with $β>1/2$. When $1/2<β<1$, $X_n$ is usually called a long-range dependent or long-memory process. For a certain class of Borel functions $K(x_1,...,x_{d+1})$, $d\ge0$, from ${\mathcal{R}}^{d+1}$ to $\mathcal{R}$, which includes indicator functions and polynomials, the stationary sequence $K(X_n,X_{n+1},...,X_{n+d})$ is considered. By developing a finite orthogonal expansion of $K(X_n,...,X_{n+d})$, the Berry--Esseen type bounds for the normalized sum $Q_N/\sqrt{N},Q_N=\sum_{n=1}^N(K(X_ n,...,X_{n+d})-\mathrm{E}K(X_n,...,X_{n+d}))$ are obtained when $Q_N/\sqrt{N}$ obeys the central limit theorem with positive limiting variance.
Published in at http://dx.doi.org/10.3150/07-BEJ112 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)