Limit theorems for Hilbert space-valued linear processes under long range dependence
Probability
2017-01-04 v1
Abstract
Let be a linear process with values in a separable Hilbert space given by for each , where is a bounded, linear normal operator and is a sequence of independent, identically distributed -valued random variables with and . We investigate the central and the functional central limit theorem for when the series of operator norms diverges. Furthermore we show that the limit process in case of the functional central limit theorem generates an operator self-similar process.
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}
}