Uniform convergence of the empirical spectral distribution function (Q1275954): Difference between revisions

The asymptotic theory for the empirical spectral distribution function \(J_{n,X}\) of a linear stationary process \((X_t)_{t\in \mathcal {Z}}\) is derived. As one of the main results, the authors prove the central limit theorem for the empirical spectral distribution function \(J_{n,X}\) indexed by a class of functions \(\mathcal {F} \subset \mathcal {L}^2(\Pi ,C)\) only under a fourth moment condition and under an entropy assumption weaker than that of \textit{R. Dahlhaus} [Stochastic Processes Appl. 30, No. 1, 69-83 (1988; Zbl 0655.60033)]. Under a fourth moment condition and under the total boundedness of \(\mathcal {F}\), a strong law of large numbers is proved for \(J_{n,X}\). The proofs strongly depend on methods developed in probability theory in Banach spaces [see e.g. \textit{M. Ledoux} and \textit{M. Talagrand}, ``Probability in Banach spaces. Isoperimetry and processes'' (1991; Zbl 0748.60004)] and for random quadratic forms [see e.g. \textit{S. Kwapień} and \textit{W. A. Woyczyński}, ``Random series and stochastic integrals: single and multiple'' (1992; Zbl 0751.60035)].