Central Limit Theorems and Quadratic Variations in Terms of Spectral Density

Hermine Biermé (Université Paris-Descartes - Paris 5)
Aline Bonami (Université d'Orléans)
José R. Leon (Universidad Central de Venezuela)

Abstract


We give a new proof and provide new bounds for the speed of convergence in the Central Limit Theorem of Breuer Major on stationary Gaussian time series, which generalizes to particular triangular arrays. Our assumptions are given in terms of the spectral density of the time series. We then consider generalized quadratic variations of Gaussian fields with stationary increments under the assumption that their spectral density is asymptotically self-similar and prove Central Limit Theorems in this context.

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Pages: 362-395

Publication Date: February 18, 2011

DOI: 10.1214/EJP.v16-862

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