English

Operator self-similar processes and functional central limit theorems

Probability 2016-09-07 v1

Abstract

Let {Xk:k1}\{X_k:k\ge1\} be a linear process with values in the separable Hilbert space L2(μ)L_2(\mu) given by Xk=j=0(j+1)DεkjX_k=\sum_{j=0}^\infty(j+1)^{-D}\varepsilon_{k-j} for each k1k\ge1, where DD is defined by Df={d(s)f(s):sS}Df=\{d(s)f(s):s\in\mathbb S\} for each fL2(μ)f\in L_2(\mu) with d:SRd:\mathbb S\to\mathbb R and {εk:kZ}\{\varepsilon_k:k\in\mathbb Z\} are independent and identically distributed L2(μ)L_2(\mu)-valued random elements with Eε0=0\operatorname E\varepsilon_0=0 and Eε02<\operatorname E\|\varepsilon_0\|^2<\infty. We establish sufficient conditions for the functional central limit theorem for {Xk:k1}\{X_k:k\ge1\} when the series of operator norms j=0(j+1)D\sum_{j=0}^\infty\|(j+1)^{-D}\| diverges and show that the limit process generates an operator self-similar process.

Keywords

Cite

@article{arxiv.1609.01435,
  title  = {Operator self-similar processes and functional central limit theorems},
  author = {Vaidotas Characiejus and Alfredas Račkauskas},
  journal= {arXiv preprint arXiv:1609.01435},
  year   = {2016}
}

Comments

22 pages

R2 v1 2026-06-22T15:40:53.533Z