An example of non-quenched convergence in the conditional CLT for discrete Fourier transforms

MaRDI QIDQ3465397zbMATHFDO

Authors David Barrera

Publication date 21 January 2016

Full work available at URL https://arxiv.org/abs/1410.5481

zbMATH Keywords

central limit theoremdiscrete Fourier transformquenched convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16)

Abstract: A recent result by Barrera and Peligrad shows that the quenched Central Limit Theorem holds for the discrete Fourier transforms (DFT) of a stationary process in $L^2$ if a "random" centering is used. In this note we show that this is a necessary condition by providing an example of a process satisfying the hypothesis of such theorem for which the DFT, without random centering, do not satisfy a quenched limit theorem. The DFT of this process, by previous results by Peligrad and Wu, satisfy the corresponding CLT in the annealed sense.

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(3)

• Quenched limit theorems for Fourier transforms and periodogram
• Quenched invariance principles for the discrete Fourier transforms of a stationary process
• Quenched central limit theorems for sums of stationary processes

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