Uniform asymptotic normality of weighted sums of short-memory linear processes

Abstract

Let $X_1,X_2,\dots$ be a short-memory linear process of random variables. For $1\le q<2$, let $\cF$ be a bounded set of real-valued functions on $[0,1]$ with finite $q$-variation. It is proved that $\{n^{-1/2}\sum_{i=1}^nX_if(i/n)\colon\,f\in\cF\}$ converges in outer distribution in the Banach space of bounded functions on $\cF$ as $n\to \infty$. Several applications to a regression model and a multiple change point model are given.

arXiv comment22 pages