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2011 Central Limit Theorems and Quadratic Variations in Terms of Spectral Density
Hermine Biermé, Aline Bonami, José R. Leon
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Electron. J. Probab. 16: 362-395 (2011). DOI: 10.1214/EJP.v16-862

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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Hermine Biermé. Aline Bonami. José R. Leon. "Central Limit Theorems and Quadratic Variations in Terms of Spectral Density." Electron. J. Probab. 16 362 - 395, 2011. https://doi.org/10.1214/EJP.v16-862

Information

Accepted: 18 February 2011; Published: 2011
First available in Project Euclid: 1 June 2016

zbMATH: 1238.60027
MathSciNet: MR2774094
Digital Object Identifier: 10.1214/EJP.v16-862

Subjects:
Primary: 60F05
Secondary: 60G10, 60G15, 60H07, 62M10, 62M15, 62M40

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