Necessary and sufficient condition for the functional central limit theorem in Hölder spaces (Q1827469)
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English | Necessary and sufficient condition for the functional central limit theorem in Hölder spaces |
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Necessary and sufficient condition for the functional central limit theorem in Hölder spaces (English)
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6 August 2004
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Let \((X_n)\) be a sequence of i.i.d. random elements in a separable Banach space \(B\), \(S_n= X_1+\cdots+ X_n\) and let \(\xi_n(t)\), \(t\in [0,1]\), be the random polygonal line with vertices \((k/n, S_k)\). Let \(H^0_\rho(B)\) be the Hölder space of continuous functions on \([0,1]\) with values in \(B\) such that \(\| x(t+ h)- x(t)\|= o(\rho(h))\) uniformly in \(t\), where \(\rho(h)= h^\alpha L(1/h)\), \(\alpha\leq 1/2\) and \(L\) is slowly varying at infinity. It is proved that \(n^{-1/2}\) converges in distribution in \(H^0_\rho(B)\) to some \(B\)-valued Brownian motion concentrated on \(H^0_\rho(B)\) if and only if \((X_n)\) satisfies CLT and the moment condition \(tP(\| X_1\|\geq At^{1/2}\rho(1/t))\to 0\) as \(t\to\infty\) holds for every \(A> 0\). In the case \(B= \mathbb R\) and \(\rho(h)= h^\alpha\) it follows that the moment condition in \textit{J. Lamperti}'s invariance principle [Trans. Am. Math. Soc. 104, 62--78 (1962; Zbl 0286.60017); ibid. 104, 430--435 (1962; Zbl 0113.33502) and J. Math. Mech. 11, 749--772 (1962; Zbl 0107.35602)] is not only sufficient but also necessary.
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Banach spaces
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invariance principle
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partial sums process
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