Limit theorems for summation schemes on a stationary sequence in a scheme of series (Q1077806)
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English | Limit theorems for summation schemes on a stationary sequence in a scheme of series |
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Limit theorems for summation schemes on a stationary sequence in a scheme of series (English)
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1985
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Let \(x_ n(k)\), \(k>0\) be a strictly stationary sequence of random variables, taking values in the metric space (\({\mathcal X},{\mathcal B}_{{\mathcal X}},\rho)\) and satisfying uniformly strong mixing condition with mixing functions \(\phi_ n(k)\), \(k\geq 0\), \(\phi_ n(0)=1\), \(\lim_{k\to \infty}\overline{\lim}_{n\to \infty}\phi_ n(k)=0.\) Further, let \(F_ n(k)=\{\xi_ n(k,x);\quad x\in {\mathcal X}\},\) \(k\geq 1\), be families of independent random variables, independent of \(x_ n(\cdot)\). Suppose that the distribution of \(F_ n(k)\) is independent of k and that for each k, \(\xi_ n(k,x)=\xi_ n(k,x,\omega)\) is \({\mathcal B}_{{\mathcal X}}\times {\mathcal B}_{\Omega}\) measurable, \(x\in {\mathcal X}\), \(\omega\in \Omega\), where \({\mathcal B}_{\Omega}\) is the \(\sigma\)-field of measurable sets on \(\Omega\) (i.e., \(\xi_ n(k,x_ n(k))\) are random variables). Under certain conditions, the author found the limiting distribution of the sequence of \[ \xi_ n=n^{-1/2}\sum^{n}_{k=1}(\xi_ n(k,x_ n(k))-m_ n), \] where \(1<\alpha \leq 2\) and \(m_ n=\int_{{\mathcal X}}m_ n(x)\pi_ n(dx),\) \(\pi_ n(A)=P\{x_ n(0)\in A\},\) \(A\in {\mathcal B}_{{\mathcal X}}\), and \(m_ n(x)\) satisfies the condition that \[ \phi_ n(\lambda,x)=E \exp \{i\lambda \xi_ n(k,x)\}=1+i\lambda m_ n(x)-| \lambda |^{\alpha}C_ n(x)+\quad o(x,| \lambda |^{\alpha}),\quad \lambda \in R,\quad x\in {\mathcal X}. \]
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strictly stationary sequence
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uniformly strong mixing condition
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