The conditional central limit theorem in Hilbert spaces. (Q2574610): Difference between revisions
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Revision as of 21:42, 19 March 2024
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| English | The conditional central limit theorem in Hilbert spaces. |
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The conditional central limit theorem in Hilbert spaces. (English)
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29 November 2005
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The conditional central limit theorem of the authors [Ann.\ Probab.\ 30, 1044--1081 (2002; Zbl 1015.60016)] is studied for dependent random variables. For a measure preserving transformation \(T\) on a Hilbert space \(\mathbf H\) the sequence \(X_i = X_0\circ T^i\) and the process \(S_n=X_1 + \dots + X_n\) are defined. In the first part of the paper equivalent conditions for the conditional CLT for \(S_n\) and for the functional CLT for \(W_n(t) = S_{[nt]} + (nt-[nt])X_{[nt]+1}\) are found. In the second part the results are applied to weakly dependent sequences and to \(\mathbf H\)-valued linear processes.
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weak invariance principle
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strictly stationary process
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stable convergence
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strong mixing
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mixingale
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linear processes
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