A functional central limit theorem for regenerative chains

MaRDI QIDQ3606281zbMATH OpenFDO

Authors Gregory Maillard, Samuel Schöpfer

Publication date 26 February 2009

Full work available at URL https://arxiv.org/abs/0801.2263

zbMATH Keywords

central limit theoremchainsregenerationrenewal process

Mathematics Subject Classification ID

Dynamical aspects of measure-preserving transformations (37A05) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Renewal theory (60K05)

Abstract: Using the regenerative scheme of Comets, Fern'andez and Ferrari (2002), we establish a functional central limit theorem (FCLT) for discrete time stochastic processes (chains) with summable memory decay. Furthermore, under stronger assumptions on the memory decay, we identify the limiting variance in terms of the process only. As applications, we define classes of binary autoregressive processes and power-law Ising chains for which the FCLT is fulfilled.

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Cited in

(2)

• Limit theorems for chains with unbounded variable length memory which satisfy Cramer condition
• scientific article; zbMATH DE number 1057575 (Why is no real title available?)

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