The central limit theorem for a sequence of random processes with space-varying long memory

DOI10.1007/S10986-013-9200-1zbMATH Open1273.60025arXiv1509.00299OpenAlexW1971786529MaRDI QIDQ2393663FDOQ2393663

Alfredas Račkauskas, Vaidotas Characiejus

Publication date: 8 August 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: In this paper we investigate a sequence of square integrable random processes with space varying memory. We establish sufficient conditions for the central limit theorem in the space $L^2(mu)$ for the partial sums of the sequence of random processes with space varying long memory. Of particular interest is a non-standard normalization of the partial sums in the central limit theorem.

Full work available at URL: https://arxiv.org/abs/1509.00299

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zbMATH Keywords

central limit theoremweak convergencelong memoryrandom processessquare-integrable sample paths

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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• OPERATOR FRACTIONAL BROWNIAN MOTION AS LIMIT OF POLYGONAL LINES PROCESSES IN HILBERT SPACE

Cited In (4)

• Operator self-similar processes and functional central limit theorems
• Central limit theorem for the empirical process of a linear sequence with long memory
• Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-cramér representations and applications
• Limit theorems for Hilbert space-valued linear processes under long range dependence

Uses Software

• fda (R)
• longmemo

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