Quenched invariance principles for the discrete Fourier transforms of a stationary process

Abstract

In this paper, we study the asymptotic behavior of the normalized cadlag functions generated by the discrete Fourier transforms of a stationary centered square-integrable process, started at a point.

We prove that the quenched invariance principle holds for averaged frequencies under no assumption other than ergodicity, and that this result holds also for almost every fixed frequency under a certain generalization of the Hannan condition and a certain rotated form of the Maxwell and Woodroofe condition which, under a condition of weak dependence that we specify, is guaranteed for a.e. frequency. If the process is in particular weakly mixing, our results describe the asymptotic distributions of the normalized discrete Fourier transforms at every frequency other than $0$ and $\pi$ under the generalized Hannan condition.

We prove also that under a certain regularity hypothesis the conditional centering is irrelevant for averaged frequencies, and that the same holds for a given fixed frequency under the rotated Maxwell and Woodroofe condition but not necessarily under the generalized Hannan condition. In particular, this implies that the hypothesis of regularity is not sufficient for functional convergence without random centering at a.e. fixed frequency.

The proofs are based on martingale approximations and combine results from Ergodic theory of recent and classical origin with approximation results by contemporary authors and with some facts from Harmonic Analysis and Functional Analysis.