Limit theorems for linear processes with tapered innovations and filters

Vygantas Paulauskas

In the paper we consider the partial sum process ${\sum }_{k=1}^{[nt]}{X}_k^{(n)}$, where $\{X_k^{(n)}=\sum_{j=0}^{\infty} a_{j}^{(n)}ξ_{k-j}(b(n)), \ k\in \bz\},\ n\ge 1,$ is a series…