Density convergence in the Breuer-Major theorem for Gaussian stationary sequences
Probability
2015-09-30 v2
Abstract
Consider a Gaussian stationary sequence with unit variance . Assume that the central limit theorem holds for a weighted sum of the form , where designates a finite sum of Hermite polynomials. Then we prove that the uniform convergence of the density of towards the standard Gaussian density also holds true, under a mild additional assumption involving the causal representation of .
Keywords
Cite
@article{arxiv.1403.3413,
title = {Density convergence in the Breuer-Major theorem for Gaussian stationary sequences},
author = {Yaozhong Hu and David Nualart and Samy Tindel and Fangjun Xu},
journal= {arXiv preprint arXiv:1403.3413},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.3150/14-BEJ646 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)