On limit theorems for fields of martingale differences

DOI10.1016/J.SPA.2018.03.021MaRDI QIDQ1730933zbMATH OpenOpenAlexWikidataFDO

Authors Dalibor Volný

Publication date 6 March 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.09100

zbMATH Keywords

weak invariance principleBernoulli random fields

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Abstract: We prove a central limit theorem for stationary multiple (random) fields of martingale differences $fcirc{T}_{underlinei}$, $underlineiinBbb{Z}^d$, where $T_{underlinei}$ is a $Bbb{Z}^d$ action. In most cases the multiple (random) fields of martingale differences is given by a completely commuting filtration. A central limit theorem proving convergence to a normal law has been known for Bernoulli random fields and in [V15] this result was extended to random fields where one of generating transformations is ergodic. In the present paper it is proved that a convergence takes place always and the limit law is a mixture of normal laws. If the $Bbb{Z}^d$ action is ergodic and $dgeq2$, the limit law need not be normal. For proving the result mentioned above, a generalisation of McLeish's CLT for arrays $(X_{n,i})$ of martingale differences is used. More precisely, sufficient conditions for a CLT are found in the case when the sums $su{m}_i{X}_{n,i}^2$ converge only in distribution. The CLT is followed by a weak invariance principle. It is shown that central limit theorems and invariance principles using martingale approximation remain valid in the non-ergodic case.

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Cited in

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