Central limit theorem for functionals of a generalized self-similar Gaussian process
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Publication:679608
Abstract: We consider a class of self-similar, continuous Gaussian processes that do not necessarily have stationary increments. We prove a version of the Breuer-Major theorem for this class, that is, subject to conditions on the covariance function, a generic functional of the process increments converges in law to a Gaussian random variable. The proof is based on the Fourth Moment Theorem. We give examples of five non-stationary processes that satisfy these conditions.
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Cited in
(18)- Spectral central limit theorem for additive functionals of isotropic and stationary Gaussian fields
- Noncentral limit theorem for the cubic variation of a class of self-similar stochastic processes
- On the cross-variation of a class of stochastic processes
- Bifractional Brownian motion for \(H>1\) and \(2HK\leq 1\)
- Functional central limit theorems for self-normalized least squares processes in regression with possibly infinite variance data
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- The marginal distribution function of threshold-type processes with central symmetric innovations
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