A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields
Probability
2019-10-08 v1 Econometrics
Abstract
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.
Cite
@article{arxiv.1910.02577,
title = {A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields},
author = {Michael C. Tseng},
journal= {arXiv preprint arXiv:1910.02577},
year = {2019}
}