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We prove uniform convergence results for the integrated periodogram of a weakly dependent time series, namely a law of large numbers and a central limit theorem. These results are applied to Whittle's parametric estimation. Under general…

We introduce a new method for obtaining quantitative convergence rates for the central limit theorem (CLT) in a high dimensional setting. Using our method, we obtain several new bounds for convergence in transportation distance and entropy,…

Variation of empirical Fr\'echet means on a metric space with curvature bounded above is encoded via random fields indexed by unit tangent vectors. A central limit theorem shows these random tangent fields converge to a Gaussian such field…

We consider the Fleming--Viot particle system associated with a continuous-time Markov chain in a finite space. Assuming irreducibility, it is known that the particle system possesses a unique stationary distribution, under which its…

We prove the Central Limit Theorem for finite-dimensional vectors of linear eigenvalue statistics of submatrices of Wigner random matrices under the assumption that test functions are sufficiently smooth. We connect the asymptotic…

A proof of the continuous martingale convergence theorem is provided. It relies on a classical martingale inequality and the almost sure convergence of a uniformly bounded non-negative super-martingale, after a truncation argument.

We establish some limit theorems for quasi-arithmetic means of random variables. This class of means contains the arithmetic, geometric and harmonic means. Our feature is that the generators of quasi-arithmetic means are allowed to be…

This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-dimensional criteria for tightness used in…

We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order and have constant mean. We show that, under the extra…

We present a new theorem describing stable solutions for a driven quantum system. The theorem, coined `inertial theorem', is applicable for fast driving, provided the acceleration rate is small. The theorem states that in the inertial limit…

This paper explores the continuous-time limit of a class of Quasi Score-Driven (QSD) models that characterize volatility. As the sampling frequency increases and the time interval tends to zero, the model weakly converges to a…

We consider asymptotic behavior of Fourier transforms of stationary ergodic sequences with finite second moments. We establish a central limit theorem (CLT) for almost all frequencies and also an annealed CLT. The theorems hold for all…

We are interested in a fragmentation process. We observe fragments frozen when their sizes are less than {\epsilon} ({\epsilon} > 0). It is known ([BM05]) that the empirical measure of these fragments converges in law, under some…

The quasi likelihood analysis is generalized to the partial quasi likelihood analysis. Limit theorems for the quasi likelihood estimators, especially the quasi Bayesian estimator, are derived in the situation where existence of a slow…

We prove an almost sure central limit theorem on the Poisson space, which is perfectly tailored for stabilizing functionals emerging in stochastic geometry. As a consequence, we provide almost sure central limit theorems for $(i)$ the total…

The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional…

We suggest an approach to obtaining general two-sided bounds on the rate of convergence in terms of special "weighted" norms related to total variation. Some important classes of continuous-time Markov chains are considered:…

We consider a borderline case: the central limit theorem for a strictly stationary time series with infinite variance but a Gaussian limit. In the iid case a well-known sufficient condition for this central limit theorem is regular…

Renz (1996), Ouchti(2005), El Machkouri and Ouchti (2007) and Mourrat (2013) have established the bounds on the rate of convergence in the central limit theorem for discrete time martingales. In the present paper a modification of the…

The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global…