A central limit theorem for autoregressive integrated moving average processes

Authors:
John E. Angus
Affiliations:
Department of Mathematics, The Claremont Graduate School 143 E. Tenth Street, Claremont, CA 91711, USA
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1993

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Cited 1

Poisson compounding of dependent random variables: A stochastic model for total claim costs

Mathematical and Computer Modelling: An International Journal

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Abstract

A central limit theorem for normalized sums of random variables that form an autoregressive integrated moving average (ARIMA) process is developed. The need for such a limit theorem is discussed in connection with modeling total compensation costs associated with insurance or medical claims.