A functional central limit theorem for regenerative chains

zbMATH Open1158.60329arXiv0801.2263MaRDI QIDQ3606281FDOQ3606281

Gregory Maillard, Samuel Schöpfer

Publication date: 26 February 2009

Abstract: Using the regenerative scheme of Comets, Fern'andez and Ferrari (2002), we establish a functional central limit theorem (FCLT) for discrete time stochastic processes (chains) with summable memory decay. Furthermore, under stronger assumptions on the memory decay, we identify the limiting variance in terms of the process only. As applications, we define classes of binary autoregressive processes and power-law Ising chains for which the FCLT is fulfilled.

Full work available at URL: https://arxiv.org/abs/0801.2263

zbMATH Keywords

renewal processcentral limit theoremregenerationchains

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Dynamical aspects of measure-preserving transformations (37A05) Renewal theory (60K05)

Cited In (2)

• Limit theorems for chains with unbounded variable length memory which satisfy Cramer condition
• Title not available (Why is that?)

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