Central Limit Theorems and Quadratic Variations in terms of Spectral Density

Abstract : We give a new proof and provide new bounds for the speed of convergence in the Central Limit Theorems of Breuer Major on stationary Gaussian time series. 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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Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2011, 16, pp.362--395
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Hermine Biermé, Aline Bonami, José Leon. Central Limit Theorems and Quadratic Variations in terms of Spectral Density. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2011, 16, pp.362--395. <hal-00497795v2>

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