Quenched limit theorems for Fourier transforms and periodogram

DOI10.3150/14-BEJ658MaRDI QIDQ5963501zbMATH OpenFDO

Authors David Barrera, Magda Peligrad

Publication date 22 February 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.0834, https://projecteuclid.org/euclid.bj/1443620850

zbMATH Keywords

spectral analysisMarkov chainsergodic theoryperiodogramstationary processesdiscrete Fourier transformmartingale approximationquenched central limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Abstract: In this paper, we study the quenched central limit theorem for the discrete Fourier transform. We show that the Fourier transform of a stationary ergodic process, suitable centered and normalized, satisfies the quenched CLT conditioned by the past sigma algebra. For functions of Markov chains with stationary transitions, this means that the CLT holds with respect to the law of the chain started at a point for almost all starting points. It is necessary to emphasize that no assumption of irreducibility with respect to a measure or other regularity conditions are imposed for this result. We also discuss necessary and sufficient conditions for the validity of quenched CLT without centering. The results are highly relevant for the study of the periodogram of a Markov process with stationary transitions which does not start from equilibrium. The proofs are based of a nice blend of harmonic analysis, theory of stationary processes, martingale approximation and ergodic theory.

Recommendations

• An example of non-quenched convergence in the conditional CLT for discrete Fourier transforms
• Central limit theorem for Fourier transforms of stationary processes
• Quenched invariance principles for the discrete Fourier transforms of a stationary process
• Central limit theorem started at a point for stationary processes and additive functionals of reversible Markov chains
• Fourier transforms of stationary processes

Cites work

• scientific article; zbMATH DE number 3171470 (Why is no real title available?)
• scientific article; zbMATH DE number 3963031 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 193011 (Why is no real title available?)
• scientific article; zbMATH DE number 1254560 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• A central limit theorem for functions of a Markov chain with applications to shifts
• A central limit theorem for iterated random functions
• A quenched invariance principle for stationary processes
• A quenched weak invariance principle
• A weighted norm inequality for Fourier series
• An almost sure invariance principle for additive functionals of Markov chains
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• An example of non-quenched convergence in the conditional central limit theorem for partial sums of a linear process
• Asymptotic theory of weakly dependent stochastic processes
• Central limit theorem for Fourier transforms of stationary processes
• Central limit theorem started at a point for stationary processes and additive functionals of reversible Markov chains
• Central limit theorems for additive functionals of Markov chains.
• Fourier transforms of stationary processes
• Gordin's theorem and the periodogram
• Introduction to strong mixing conditions. Vol. 1.
• Iterated Random Functions
• Law of the iterated logarithm for the periodogram
• Limit theorems for Fourier transforms of functionals of Gaussian sequences
• On convergence and growth of partial sums of Fourier series
• On martingale approximations and the quenched weak invariance principle
• On the Ergodic Dynamics of Almost Periodic Systems
• Operator theoretic aspects of ergodic theory
• Quenched invariance principle for multidimensional ballistic random walk in a random environment with a forbidden direction
• Quenched invariance principles via martingale approximation
• Remarks on the functional central limit theorem for martingales
• Some almost sure results for unbounded functions of intermittent maps and their associated Markov chains
• Some asymptotic results for the periodogram of a stationary time series
• Stationary strongly mixing sequences not satisfying the central limit theorem
• The CLT for rotated ergodic sums and related processes
• The central limit theorem for Markov chains with normal transition operators, started at a point
• Time series: theory and methods.

Cited in

(4)

• On the functional CLT for stationary Markov chains started at a point
• The asymptotic distribution of the condition number for random circulant matrices
• Quenched invariance principles for the discrete Fourier transforms of a stationary process
• An example of non-quenched convergence in the conditional CLT for discrete Fourier transforms

This page was built for publication: Quenched limit theorems for Fourier transforms and periodogram

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5963501)