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A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields (1910.02577v1)
Published 7 Oct 2019 in math.PR and econ.EM
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.
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