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ISSN : 1226-0657

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Vol.11 No.2

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The Central Limit Theorems for the Multivariate Linear Processes Generated by Negatively Associated Random Vectors

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2004, v.11 no.2, pp.139-147
Kim, Tae-Sung
Ko, Mi-Hwa
Ro, Hyeong-Hee
Kim,, T. , Ko,, M. , & Ro,, H. (2004). The Central Limit Theorems for the Multivariate Linear Processes Generated by Negatively Associated Random Vectors. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 11(2), 139-147.

Abstract

Let {<<TEX>$\mathds{X}_t$</TEX>} be an m-dimensional linear process of the form <TEX>$\mathbb{X}_t\;=\sumA,\mathbb{Z}_{t-j}$</TEX> where {<TEX>$\mathbb{Z}_t$</TEX>} is a sequence of stationary m-dimensional negatively associated random vectors with <TEX>$\mathbb{EZ}_t$</TEX> = <TEX>$\mathbb{O}$</TEX> and <TEX>$\mathbb{E}\parallel\mathbb{Z}_t\parallel^2$</TEX> < <TEX>$\infty$</TEX>. In this paper we prove the central limit theorems for multivariate linear processes generated by negatively associated random vectors.

keywords
negatively associated random vector, multivariate linear process, central limit theorem

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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