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Statistica Sinica 21 (2011), 1397-1413
doi:10.5705/ss.2008.223





GAUSSIAN APPROXIMATIONS FOR NON-STATIONARY

MULTIPLE TIME SERIES


Wei Biao Wu and Zhou Zhou


University of Chicago and University of Toronto


Abstract: We obtain an invariance principle for non-stationary vector-valued stochastic processes. It is shown that, under mild conditions, the partial sums of non-stationary processes can be approximated on a richer probability space by sums of independent Gaussian random vectors with nearly optimal bounds. The latter Gaussian approximation result has a wide range of applications in the study of multiple non-stationary time series.



Key words and phrases: Central limit theorem, functional linear models, Gaussian approximation, local stationarity, non-stationary nonlinear multiple time series.

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