On almost sure noncentral limit theorems
Let \(B_ H(t)\) be a fractional Brownian motion of index \(H\) with \(B_ H(0)\equiv 0\), \(E B_ H(t)=0\) and \(E B^ 2_ H=1\) (\(0<H<1\)). The domain of attraction of \(B_ H\) has been studied by many authors. Take a sequence \(\{X_ k\}_{k\in Z}\) of i.i.d. r.v.s with \(E X_ 0=0\) and \(E X^ 2_ 0=1\). And form a sequence \(\{\xi_ k\}_{k\in Z}\) of moving averages of \(X_ k\) with suitable weights. Set \(S_ m=\xi_ 1+\dots+\xi_ m\). Then for the process \(Z_ m(t)\), constructed of \(S_ k\), we have weak convergence: For a constant \(K\), \(Z_ m(\cdot)\overset {d} \Rightarrow K B_ H(\cdot)\) in \(C[0,1]\). Denote by \(\delta\{x\}\) the point mass at \(x\) in \(C[0,1]\). The author proves the following results: for \(0<H<1\), and \(B_ H\) and \(Z_ m\) as above, \[ (1/\log t)\int^ t_ 1 s^{-1}\delta\{s^{-H}B_ H(s\cdot)\}\overset {d} \Rightarrow {\mathcal L}(B_ H(\cdot))\hbox{ in } C[0,1]\hbox{ a.s.} \] and \[ (1/\log n)\sum_{m=1}^ n m^{-1}\delta\{K^{-1}Z_ m(\cdot)\}\overset {d} \Rightarrow {\mathcal L}(B_ H(\cdot))\hbox{ in } C[0,1]\hbox{ a.s.} \] In addition the author refers to the Hermite processes and proves some results corresponding to the ones above.
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