English

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 X={Xk;kN{0}}X=\{X_k;k\in {\mathbb{N}}\cup\{0\}\}. Assume that the central limit theorem holds for a weighted sum of the form Vn=n1/2k=0n1f(Xk)V_n=n^{-1/2}\sum^{n-1}_{k=0}f(X_k), where ff designates a finite sum of Hermite polynomials. Then we prove that the uniform convergence of the density of VnV_n towards the standard Gaussian density also holds true, under a mild additional assumption involving the causal representation of XX.

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)