Related papers: Central limit theorem for functionals of a general…
In this paper, we investigate the functional central limit theorem for stochastic processes associated to partial sums of additive functionals of reversible Markov chains with general spate space, under the normalization standard deviation…
In this article we will introduce the realised semicovariance for Brownian semistationary (BSS) processes, which is obtained from the decomposition of the realised covariance matrix into components based on the signs of the returns, and…
We study rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences, using optimal tools from analysis on Wiener space. We apply our result to study drift…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
We study a class of discrete-time random walks in $\mathbb{R}^d$ whose conditional drift decays polynomially in time and grows polynomially with the distance from the origin to the current position. This class is related to several models…
General Central limit theorem deals with weak limits (in type) of sums of row-elements of array random variables. In some situations as in the invariance principle problem, the sums may include only parts of the row-elements. For strictly…
A univariate Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process is given by the sum of a baseline intensity and another term that depends on the entire past history…
We prove central limit theorems (CLT) for empirical processes of extreme values cluster functionals as in Drees and Rootz\'en (2010). We use coupling properties enlightened for Dedecker \& Prieur's $\tau-$dependence coefficients in order to…
We provide a functional central limit theorem for a broad class of smooth functions for possibly noncausal multivariate linear processes with time-varying coefficients. Since the limiting processes depend on unknown quantities, we propose a…
Let $(X_i,i\geq 1)$ be a sequence of i.i.d. random variables with values in $[0,1]$, and $f$ be a function such that $`E(f(X_1)^2)<+\infty$. We show a functional central limit theorem for the process $t\mapsto \sum_{i=1}^n f(X_i)1_{X_i\leq…
We consider the adjacency matrix $A$ of a large random graph and study fluctuations of the function $f_n(z,u)=\frac{1}{n}\sum_{k=1}^n\exp\{-uG_{kk}(z)\}$ with $G(z)=(z-iA)^{-1}$. We prove that the moments of fluctuations normalized by…
In this article we generalize the classical Edgeworth expansion for the probability density function (PDF) of sums of a finite number of symmetric independent identically distributed random variables with a finite variance to sums of…
The Central Limit Theorem (CLT) is one of the most fundamental results in statistics. It states that the standardized sample mean of a sequence of $n$ mutually independent and identically distributed random variables with finite first and…
We establish precise bounds on cumulants for a rather general class of non-linear geometric functionals satisfying the stabilization property under a simple, stationary (marked) point process admitting fast decay of its correlation…
The free central-limit theorem, a fundamental theorem in free probability, states that empirical averages of freely independent random variables are asymptotically semi-circular. We extend this theorem to general dynamical systems of…
The objective of this study is to investigate the limiting behavior of a subgraph counting process. The subgraph counting process we consider counts the number of subgraphs having a specific shape that exist outside an expanding ball as the…
A non-classical formulation of the central limit theorem is given for sequences of independent random variables with finite second moments. Singular sequences whose members all have a degenerate or normal distribution are excluded from…
The limit Gaussian distribution of multivariate weighted functionals of nonlinear transformations of Gaussian stationary processes, having multiple singular spectra, is derived, under very general conditions on the weight function. This…
We consider a stationary sequence $(X_n)$ constructed by a multiple stochastic integral and an infinite-measure conservative dynamical system. The random measure defining the multiple integral is non-Gaussian, infinitely divisible and has a…
A functional limit theorem is established for the partial-sum process of a class of stationary sequences which exhibit both heavy tails and long-range dependence. The stationary sequence is constructed using multiple stochastic integrals…