English

Limit theorems for Hilbert space-valued linear processes under long range dependence

Probability 2017-01-04 v1

Abstract

Let (Xk)kZ(X_{k})_{k \in \mathbb Z } be a linear process with values in a separable Hilbert space H\mathbb{H} given by Xk=j=0(j+1)NεkjX_{k} =\sum_{j=0}^{\infty} (j+1)^{-N}\varepsilon_{k-j} for each kZk \in \mathbb Z, where N:HHN:\mathbb{H} \to \mathbb{H} is a bounded, linear normal operator and (εk)kZ(\varepsilon_{k})_{ k \in \mathbb Z } is a sequence of independent, identically distributed H\mathbb{H}-valued random variables with Eε0=0E\varepsilon_{0}=0 and Eε02<E\| \varepsilon_{0} \|^2<\infty. We investigate the central and the functional central limit theorem for (Xk)kZ(X_{k})_{k \in \mathbb Z } when the series of operator norms j=0(j+1)Nop\sum_{j=0}^{\infty} \|(j+1)^{-N}\|_{op} diverges. Furthermore we show that the limit process in case of the functional central limit theorem generates an operator self-similar process.

Keywords

Cite

@article{arxiv.1701.00625,
  title  = {Limit theorems for Hilbert space-valued linear processes under long range dependence},
  author = {Marie-Christine Düker},
  journal= {arXiv preprint arXiv:1701.00625},
  year   = {2017}
}
R2 v1 2026-06-22T17:39:49.409Z