Quenched central limit theorems for sums of stationary processes

It is shown that the existence of an L1 martingale–coboundary decomposition does not imply the quenched version of the Central Limit Theorem. In another result, it is shown that a condition proposed by Hannan does imply quenched convergence for a centered version of the sum while a condition proposed by Heyde does not imply quenched convergence.

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Year of publication:	2014
Authors:	Volný, Dalibor ; Woodroofe, Michael
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 85.2014, C, p. 161-167
Publisher:	Elsevier
Subject:	Coboundaries \| Hannan’s condition \| Heyde’s condition \| Martingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040044