Abstract
In this paper we derive the asymptotic normality ofL-statistics with unbounded scores for a large class of time series. To handle the dependence structure, we use the concept ofm(n)-decomposability as an alternative to classical mixing concepts.
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Research supported by the Office of Naval Research Contract N00014-91-J-1020.
Part of this work was done while the author was at the Department of Mathematics, KUN, Nijmegen, The Netherlands.
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Puri, M.L., Ruymgaart, F.H. Asymptotic behavior ofL-statistics for a large class of time series. Ann Inst Stat Math 45, 687–701 (1993). https://doi.org/10.1007/BF00774781
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DOI: https://doi.org/10.1007/BF00774781