Central limit theorem for linear processes with values in Hilbert space (Q1382473)

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Central limit theorem for linear processes with values in Hilbert space
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    Central limit theorem for linear processes with values in Hilbert space (English)
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    29 March 1998
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    The author studies the behaviour of the sums of i.i.d. sequences of Hilbert space valued random vectors of the form \(S_n=\sum _{k=1}^n a_{kn}\varepsilon _k,\) where \(\varepsilon _k\) are i.i.d. \(H\)-valued random vectors with \(E(\varepsilon _k)=0\) and \(E|\varepsilon _k|^2=\sigma ^2_\varepsilon <\infty \) and the components of the triangular array \((a_{nk})\) are bounded linear operators on Hilbert space \(H\). Under the assumptions \( \sup _n \sum _{k=1}^n |a_{kn}|^2 <\infty\), \(\max _{1\leq k\leq n} |a_{kn}|\rightarrow 0\) if \(n\to \infty \) it is proved that \(S_n\) converges in distribution to a centered \(H\)-valued Gaussian random vector with the covariance operator \(T=(\sigma _{ij})\) if and only if for some orthonormal basis \((e_i)\) in \(H\) \[ \lim _{n\to \infty }E\langle S_n,e_i\rangle \langle S_n,e_j \rangle = \sigma _{ij},\quad \limsup _{n\to \infty } E|S_n|^2 = \sum _i \sigma _{ii}. \]
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    Hilbertian white noise
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    central limit theorem
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    uniform integrability
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