Asymptotic normality of sums of Hilbert space valued random elements

Hilbert and pre-Hilbert spaces: geometry and topology (including spaces with semidefinite inner product) (46C05) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Central limit and other weak theorems (60F05)

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The main object of study in the current work is the random series \(Z_n:=\sum_{k\in\mathbb{Z}}u_{n,k}X_k, \ n\in\mathbb{N}\), where \((X_k)_{k\in\mathbb{N}}\) may be either a sequence of i.i.d random variables with values in a separable Hilbert space \(\mathcal{H}\) or it may constitute a linear proces with i.i.d. innovations. The coefficients \((u_{n,k})_{k\in\mathbb{Z}}\) are linear bounded operators in \(\mathcal{L}(\mathcal{H})\). If the random variables \((X_k)\) are centered with finite second moments, and the sequence of weights \((u_{n,k})\) satisfies a series of assumptions that ensure the almost sure convergence of the series \((Z_n)_{n\in\mathbb{N}}\), then in the main result Theorem 2.2, the author identifies the limit of \((Z_n)\). The main result is then extended to the case when \((X_k)_{k\in\mathbb{Z}}\) is a linear process with innovations in Section 3. Convergence of discounted sums process and nearly non-stationary models are investigated as applications of the main result. Series of examples are provided as well.

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