Density convergence in the Breuer-Major theorem for Gaussian stationary sequences

Yaozhong Hu, David Nualart, Samy Tindel, Fangjun Xu

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

Consider a Gaussian stationary sequence with unit variance X = {Xk;k E NU{0}}. Assume that the central limit theorem holds for a weighted sum of the form Vn = n.1/2-n-1 k=0 f (Xk), where f designates a finite sum of Hermite polynomials. Then we prove that the uniform convergence of the density of Vn towards the standard Gaussian density also holds true, under a mild additional assumption involving the causal representation of X.

Original languageEnglish
Pages (from-to)2336-2350
Number of pages15
JournalBernoulli
Volume21
Issue number4
DOIs
StatePublished - 1 Nov 2015

Keywords

  • Breuer-Major theorem
  • Density convergence
  • Gaussian stationary sequences
  • Malliavin calculus
  • Moving average representation

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