Approximating martingales and the central limit theorem for strictly stationary processes (Q1208930): Difference between revisions
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Revision as of 02:58, 12 February 2024
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English | Approximating martingales and the central limit theorem for strictly stationary processes |
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Approximating martingales and the central limit theorem for strictly stationary processes (English)
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16 May 1993
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Consider a space \((\Omega,{\mathcal A},\mu)\) and a measure preserving transformation \(T:\Omega\to\Omega\). Let \(f\in L_ 2(\mu)\) and define \(s_ n(f)={1\over\sqrt n}\sum^ n_{j=1}f\circ T^ j\). The author studies assumptions of various central limit theorems (like those of Gordin and Dürr-Goldstein) which ensure that \(s_ n(f)\) weakly converges to a normal law. The theorems can be characterized by the fact that they guarantee \(\lim_{n\to\infty}\| s_ n(f-m)\|_ 2=0\) for any martingale difference \(m\circ T^ i\). Then the author discusses conditions under which the results hold in almost all ergodic components simultaneously. An application to the asymptotic theory of stationary linear processes with random coefficient is given.
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measure preserving transformation
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central limit theorems
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martingale difference
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stationary linear processes
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