Limit theorems for von Mises statistics of a measure preserving transformation

DOI10.1007/S00440-013-0522-ZzbMATH Open1306.60007OpenAlexW3105799400MaRDI QIDQ466892FDOQ466892

Authors Manfred Denker, Mikhaĭl Iosifovich Gordin

Publication date 31 October 2014

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.0635

Abstract: For a measure preserving transformation

T

of a probability space

(X, m a t h c a l F, m u)

we investigate almost sure and distributional convergence of random variables of the form

x o frac{1}{C_n} sum_{i_1<n,...,i_d<n} f(T^{i_1}x,...,T^{i_d}x),, n=1,2,...,

where

f

(called the emph{kernel}) is a function from

X^{d}

to

R

and

C_{1}, C_{2}, ...

are appropriate normalizing constants. We observe that the above random variables are well defined and belong to

L_{r} (m u)

provided that the kernel is chosen from the projective tensor product

L_p(X_1,mathcal F_1, mu_1) otimes_{pi}...otimes_{pi} L_p(X_d,mathcal F_d, mu_d)subset L_p(mu^d)

with

p = d, r,, r i n [1, i n f t y) .

We establish a form of the individual ergodic theorem for such sequences. Next, we give a martingale approximation argument to derive a central limit theorem in the non-degenerate case (in the sense of the classical Hoeffding's decomposition). Furthermore, for

d = 2

and a wide class of canonical kernels

f

we also show that the convergence holds in distribution towards a quadratic form

s u m_{m = 1}^{i n f t y} l a m b d a_{m} e t a_{m}^{2}

in independent standard Gaussian variables

e t a_{1}, e t a_{2}, ...

. Our results on the distributional convergence use a

T

--,invariant filtration as a prerequisite and are derived from uni- and multivariate martingale approximations.

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