Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550251 | Stochastic Processes and their Applications | 2018 | 27 Pages |
Abstract
Let (Xk)kâZ be a linear process with values in a separable Hilbert space H given by Xk=âj=0â(j+1)âNεkâj for each kâZ, where N:HâH is a bounded, linear normal operator and (εk)kâZ is a sequence of independent, identically distributed H-valued random variables with Eε0=0 and Eâε0â2<â. We investigate the central and the functional central limit theorem for (Xk)kâZ when the series of operator norms âj=0ââ(j+1)âNâop diverges. Furthermore, we show that the limit process in case of the functional central limit theorem generates an operator self-similar process.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Marie-Christine Düker,