On the Central Limit Theorem for Sample Continuous Processes
M., Evarist Gine
Ann. Probab., Tome 2 (1974) no. 6, p. 629-641 / Harvested from Project Euclid
Let $\{X_k\}^\infty_{k = 1}$ be a sequence of independent centered random variables with values in $C(S)$ (i.e., sample continuous processes in $S$), $(S,d)$ being a compact metric space. This sequence is said to satisfy the central limit theorem if there exists a sample continuous Gaussian process on $S, Z$, such that $\mathscr{L}(\sum^n_{k = 1}X_k/n^{\frac{1}{2}})\rightarrow_{w^\ast} \mathscr{L}(Z)$ in $C'(C(S))$. In this paper some sufficient conditions are given for the central limit theorem to hold for $\{X_k\}^\infty_{k = 1}$; these conditions are on the modulus of continuity of the processes $X_k$ and they are expressed in terms of the metric entropy of distances associated to $\{X_k\}$. Then, in order to give some insight on these theorems, several results on the central limit theorem for particular processes (random Fourier and Taylor series, as well as more general processes on [0, 1]) are deduced.
Publié le : 1974-08-14
Classification:  Central limit theorem for sample continuous processes,  $\epsilon$-entropy (metric),  random Fourier series,  random Taylor series,  60F05,  60G99
@article{1176996609,
     author = {M., Evarist Gine},
     title = {On the Central Limit Theorem for Sample Continuous Processes},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 629-641},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996609}
}
M., Evarist Gine. On the Central Limit Theorem for Sample Continuous Processes. Ann. Probab., Tome 2 (1974) no. 6, pp.  629-641. http://gdmltest.u-ga.fr/item/1176996609/