On the optimality of McLeish's conditions for the central limit theorem (Q2351838): Difference between revisions

In the main result of this paper, the author gives an explicit construction of a family of stationary ergodic sequences \((X_i)_{i\in\mathbb{N}}\) of square integrable, centred random variables whose sum \(S_n=X_1+\dots+X_n\) has variance which is (asymptotically) linear but for which the central limit theorem does not hold, since \(n^{-1/2}S_n\) fails to converge in distribution. The construction employed by the author shows that the conditions for the central limit theorem due to \textit{D. L. McLeish} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 32, 165--178 (1975; Zbl 0288.60034)] cannot be relaxed in general.