Autocorrelation and the Sum of Stochastic Variables

Annibal Figueiredo, University of Brasilia
Iram Gleria, Federal University of Alagoas
Raul Matsushita, University of Brasilia
Sergio Da Silva, Federal University of Rio Grande Do Sul

Abstract

We examine the role of nonlinear autocorrelations in the convergence to the Gaussian equilibrium and put forward an attempt to generalize the central limit theorem. Our results are illustrated with data coming from the British pound-US dollar rate.