Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields

DOI10.1214/21-AAP1722zbMATH Open1503.60061arXiv2007.10874OpenAlexW3044939093WikidataQ113752020 ScholiaQ113752020MaRDI QIDQ2170362FDOQ2170362

Authors: Imma Valentina Curato, Robert Stelzer, Bennet Ströh 

Publication date: 5 September 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We obtain central limit theorems for stationary random fields employing a novel measure of dependence called $heta$-lex weak dependence. We show that this dependence notion is more general than strong mixing, i.e., it applies to a broader class of models. Moreover, we discuss hereditary properties for $heta$-lex and $eta$-weak dependence and illustrate the possible applications of the weak dependence notions to the study of the asymptotic properties of stationary random fields. Our general results apply to mixed moving average fields (MMAF in short) and ambit fields. We show general conditions such that MMAF and ambit fields, with the volatility field being an MMAF or a $p$-dependent random field, are weakly dependent. For all the models mentioned above, we give a complete characterization of their weak dependence coefficients and sufficient conditions to obtain the asymptotic normality of their sample moments. Finally, we give explicit computations of the weak dependence coefficients of MSTOU processes and analyze under which conditions the developed asymptotic theory applies to CARMA fields.

Full work available at URL: https://arxiv.org/abs/2007.10874

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zbMATH Keywords

weak dependencecentral limit theoremsstationary random fieldsambit fieldsCARMA fieldsmixed moving average fields

Mathematics Subject Classification ID

Point estimation (62F10) Inference from spatial processes (62M30) Random fields; image analysis (62M40) Random fields (60G60) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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