On the central limit question under absolute regularity (Q1068442): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Set OpenAlex properties.
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1214/aop/1176992815 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2037626797 / rank
 
Normal rank

Revision as of 19:05, 19 March 2024

scientific article
Language Label Description Also known as
English
On the central limit question under absolute regularity
scientific article

    Statements

    On the central limit question under absolute regularity (English)
    0 references
    1985
    0 references
    Let \(X=(X_ k,k\in {\mathbb{Z}})\) be a strictly stationary sequence of random variables on a probability space (\(\Omega\),\({\mathfrak F},P)\). Denote \(S_ n=X_ 1+...+X_ n\), \(n=1,2,..\). \(\beta ({\mathfrak A},{\mathfrak B})=\sup \quad 2^{-1}\sum^{I}_{i=1}\sum^{J}_{j=1}| P(A_ i\cap B_ j)- P(A_ i)P(B_ j)|,\) where sup is taken over all pairs of partitions \(\{A_ 1,...,A_ I\}\) and \(\{B_ 1,...,B_ J\}\) of \(\Omega\) such that \(A_ i\in {\mathfrak A}\) \(\forall i\) and \(B_ j\in {\mathfrak B}\) \(\forall j\); \({\mathfrak A}\), \({\mathfrak B}\) being \(\sigma\)-fields. \(\beta (n)=\beta ({\mathfrak F}^ 0_{-\infty},{\mathfrak F}_ n^{\infty})\), \(n=1,2,..\). Let (1) \(0<Var X_ 0<\infty\), \(corr(X_ 0,X_ n)=0\) \(\forall n\geq 1\); (2) \(\inf_{n\geq 1}P(S_ n=0)>0\); (3) \(\lim_{c\to \infty}[\sup_{n\geq 1}P(| S_ n| >c)]=0.\) Theorem 3. Suppose \(\delta >0\). Then there exists a strictly stationary sequence \(X=(X_ k)\) such that \(EX_ 0=0\), \(E| X_ 0|^{2+\delta}<\infty\), \(\sum^{\infty}_{m=1}\beta (m)^{\delta /2+\delta}<\infty\), Var \(S_ m\sim (\log m)^{-4}\cdot m\) as \(m\to \infty\) and (2) and (3) both hold. Theorem 4. There exists a strictly stationary sequence \(X=(X_ k)\) such that \(EX_ 0=0\), \(| X_ 0| <C\) a.s. for some \(C<\infty\), \(\sum^{\infty}_{m=1}\beta (m)<\infty\), Var \(S_ m\sim (\log m)^{- 4}\cdot m\) as \(m\to \infty\), and (2) and (3) both hold.
    0 references
    strictly stationary
    0 references
    strong mixing
    0 references
    absolute regularity
    0 references
    central limit theorem
    0 references

    Identifiers