A note on the central limit theorem for square-integrable processes

Author:

Hahn Marjorie G.

Abstract

A method is given for constructing sample-continuous processes which do not satisfy the central limit theorem in C [ 0 , 1 ] C[0,1] . Let { X ( t ) : t [ 0 , 1 ] } \{ X(t):t \in [0,1]\} be a stochastic process. Using our method we characterize all possible nonnegative functions f for which the condition \[ E ( X ( t ) X ( s ) ) 2 f ( | t s | ) E( X(t) - X(s) )^2 \leqslant f( | t - s | ) \] alone is sufficient to imply that X ( t ) X(t) satisfies the central limit theorem in C [ 0 , 1 ] C[0,1] .

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference4 articles.

1. The sizes of compact subsets of Hilbert space and continuity of Gaussian processes;Dudley, R. M.;J. Functional Analysis,1967

2. Conditions for sample-continuity and the central limit theorem;Hahn, Marjorie G.;Ann. Probability,1977

3. Sample-continuity of square-integrable processes;Hahn, Marjorie G.;Ann. Probability,1977

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1. Central limit theorem for stochastically continuous processes. Convergence to stable limit;Journal of Theoretical Probability;1996-07

2. A note on the central limit theorem for stochastically continuous processes;Stochastic Processes and their Applications;1994-10

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4. The central limit theorem in the spaceD[0,1]. II;Lithuanian Mathematical Journal;1994

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