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 language | English |
|---|---|
| Pages (from-to) | 2336-2350 |
| Number of pages | 15 |
| Journal | Bernoulli |
| Volume | 21 |
| Issue number | 4 |
| DOIs | |
| State | Published - 1 Nov 2015 |
Keywords
- Breuer-Major theorem
- Density convergence
- Gaussian stationary sequences
- Malliavin calculus
- Moving average representation