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In this paper we study the CLT for partial sums of a generalized linear process Xₙ = ∑ᵢ₌₁ⁿ aₙᵢ ξᵢ, where $_n ∑ᵢ₌₁^n aₙᵢ^2 < ∞, max1 ≤ i ≤ nare in turn, pairwise mixing martingale differences, mixing sequences or associated sequences. The results are important in analyzing the asymptotical properties of some estimators as well as of linear processes.
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Peligrad et al. (1997) studied this question.
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