Asymptotic properties for linear processes of functionals of reversible or normal Markov chains

DOI10.1007/978-3-0348-0490-5_12MaRDI QIDQ2840338zbMATH OpenOpenAlexFDO

Authors Magda Peligrad

Publication date 18 July 2013

Published in Progress in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.5575

zbMATH Keywords

central limit theoremfractional Brownian motionreversible Markov chainsstationary linear processgeneralized martingales

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Foundations of stochastic processes (60G05)

Abstract: In this paper we study the asymptotic behavior of linear processes having as innovations mean zero, square integrable functions of stationary reversible Markov chains. In doing so we shall preserve the generality of coefficients assuming only that they are square summable. In this way we include in our study the long range dependence case. The only assumption imposed on the innovations is the absolute summability of their covariances. Besides the central limit theorem we also study the convergence to fractional Brownian motion. The proofs are based on general results for linear processes with stationary innovations that have interest in themselves.

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Cited in

(2)

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